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...

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 of how to select the lag order of a nonstationary VAR model subject...