Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes
Dietmar Bauer • Econometrics
(2023)
When using vector autoregressive (VAR) models for approximating time series, a key step is the selection of the lag length. Often this is performed using information criteria, even if a theoretical justification is lacking in some cases. Fo...
DOAJ
Open Access (DOAJ)
DOI:
10.3390/econometrics11020011