Testing the lag length of vector autoregressive models: A power comparison between portmanteau and Lagrange multiplier tests
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More about this item
Keywords
VAR model; VECM model; Cointegration; Residual autocorrelations; Portmanteau tests; Lagrange Multiplier tests.;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-12-11 (Econometrics)
- NEP-ETS-2017-12-11 (Econometric Time Series)
- NEP-ORE-2017-12-11 (Operations Research)
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