Gutierrez, Carlos Enrique Carrasco; Souza, Reinaldo Castro - Fundação Instituto Capixaba de Pesquisas em … - 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 speci.cation. There have been many studies of how to select the lag order of a nonstationary VAR model subject...