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HJC: OCTAVE module to Determine the Optimal Lag Order in A VAR Model by Minimizing a New Information Criterion

Author

Listed:
  • Abdulnasser Hatemi-J

    (UAE University)

  • Alan Mustafa

    (American University of Kurdistan)

Programming Language

Octave

Abstract

This Octave module provides the optimal lag order in a Vector Autoregressive (VAR) model based on the minimization of an information criterion suggested by Hatemi-J (2003, 2008). Simulation results show that this information criterion is successful in correctly finding the optimal lag order if the underlying variables are integrated. It is also robust to ARCH effects and it has good forecasting properties. For technical description see the following articles. Hatemi-J, A. (2003) A new method to choose optimal lag order in stable and unstable VAR models, Applied Economics Letters, vol. 10(3), 135-137. Hatemi-J, A. (2008) Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models, Applied Economics Letters, vol. 15(4), 239-243.

Suggested Citation

  • Abdulnasser Hatemi-J & Alan Mustafa, 2017. "HJC: OCTAVE module to Determine the Optimal Lag Order in A VAR Model by Minimizing a New Information Criterion," Statistical Software Components OCT002, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:oct002
    as

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