Gutierrez, Carrasco; Enrique, Carlos; Castro Souza, Reinaldo - Volkswirtschaftliche Fakultät, … - 2009
An important aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inferences in this model depend on the correct model specification. There have been many studies on how to select the lag order of a nonstationary VAR model subject...