Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes
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. For stationary processes, the asymptotic properties of the cor...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-04-01
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| Series: | Econometrics |
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| Online Access: | https://www.mdpi.com/2225-1146/11/2/11 |