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Lag length selection in vector autoregressive models: symmetric and asymmetric lags

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  • Omer Ozcicek
  • W. DOUGLAS McMILLIN

Abstract

This study used Monte Carlo simulations to study the performance of alternative lag selection criterion for symmetric lag and asymmetric lag vector autoregressive models. Lag models with short lags and with long lags were considered. The alternative criteria considered were the AIC, SIC, Phillips' Posterior Information Criterion, and Keating's modification of the AIC and SIC. The alternative criteria were evaluated by computing the frequency distribution of lags selected, by computing the out-of-sample forecasting performance of models with lags selected using each criterion, and by comparing the ability of models with lags selected using each criterion to mimic the 'true' impulse response functions for the lag model.

Suggested Citation

  • Omer Ozcicek & W. DOUGLAS McMILLIN, 1999. "Lag length selection in vector autoregressive models: symmetric and asymmetric lags," Applied Economics, Taylor & Francis Journals, vol. 31(4), pages 517-524.
    • Handle: RePEc:taf:applec:v:31:y:1999:i:4:p:517-524
    DOI: 10.1080/000368499324237
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    1. Peter C.B. Phillips, 1994. "Model Determination and Macroeconomic Activity," Cowles Foundation Discussion Papers 1083, Cowles Foundation for Research in Economics, Yale University.
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