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Structural change and lag length in VAR models

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  • Thoma, Mark

Abstract

This paper investigates the relationship between changes in policy rules and changes in the estimated lag length in empirical models. The paper finds that there is a close association between changes in the parameter on the output gap term in the monetary policy rule investigated here and changes in estimated lag length for an associated VAR model.

Suggested Citation

  • Thoma, Mark, 2008. "Structural change and lag length in VAR models," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 965-976, September.
    • Handle: RePEc:eee:jmacro:v:30:y:2008:i:3:p:965-976
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    References listed on IDEAS

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    1. Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 115(1), pages 147-180.
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    Cited by:

    1. Imran H. Shah & Ian Corrick & Abdul Saboor, 2018. "How should Central Banks Respond to Non-neutral Inflation Expectations?," Open Economies Review, Springer, vol. 29(2), pages 321-351, April.

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