Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?

Applied Economics

Volumn 41, Issue 9, 2009, Pages 1121-1125

  Hatemi J, A ^a,b   Hacker, R S ^c  

^a University of Kurdistan Hawler   (Iraq)

^b LUND UNIVERSITY   (Sweden)

^c JÖNKÖPING INTERNATIONAL BUSINESS SCHOOL   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; ECONOMETRICS; MAXIMUM LIKELIHOOD ANALYSIS; NUMERICAL MODEL; OPTIMIZATION; TESTING METHOD; VECTOR AUTOREGRESSION;

EID: 67650287973     PISSN: 00036846     EISSN: 14664283     Source Type: Journal    
DOI: 10.1080/00036840601019273     Document Type: Article

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