his.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models
University of Skövde, School of Technology and Society. Department of Business and Management, University of Kurdistan-Hawler.
2008 (English)In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 15, no 4, 239-243 p.Article in journal (Refereed) Published
Abstract [en]

This simulation study investigates the forecasting performance of a new information criterion suggested by Hatemi-J (2003) to pick the optimal lag length in the stable and unstable vector autregression (VAR) models. The conducted Monte Carlo experiments reveal that this information criterion is successful in selecting the optimal lag order in the VAR model when the main aim is to draw ex-ante (forecasting) inference regardless if the VAR model is stable or not. In addition, the simulations indicate that this information criterion is robust to autoregressive conditional heteroskedasticity effects.

Place, publisher, year, edition, pages
Routledge, 2008. Vol. 15, no 4, 239-243 p.
National Category
Economics
Identifiers
URN: urn:nbn:se:his:diva-2943DOI: 10.1080/13504850500461613ISI: 000256310700001Scopus ID: 2-s2.0-40049095537OAI: oai:DiVA.org:his-2943DiVA: diva2:210692
Available from: 2009-04-03 Created: 2009-04-03 Last updated: 2017-03-06Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full textScopus

Search in DiVA

By author/editor
Hatemi-J, Abdulnasser
By organisation
School of Technology and Society
In the same journal
Applied Economics Letters
Economics

Search outside of DiVA

GoogleGoogle Scholar

Altmetric score

Total: 52 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf