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Optimal lag-length ...
Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
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- Hacker, R Scott, 1964- (författare)
- Jönköping University,IHH, Nationalekonomi,RUREG, in CISEG,Jönköping Int Business Sch, Dept Econ, Jönköping, Sweden
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- Hatemi-J., Abdulnasser (författare)
- Lund University,Lunds universitet,Högskolan i Skövde,Institutionen för teknik och samhälle,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
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(creator_code:org_t)
- Routledge, 2008
- 2008
- Engelska.
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Ingår i: Journal of Applied Statistics. - : Routledge. - 0266-4763 .- 1360-0532. ; 35:6, s. 601-615
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Abstract
Ämnesord
Stäng
- The performance of different information criteria - namely Akaike, corrected Akaike (AICC), Schwarz-Bayesian (SBC), and Hannan-Quinn - is investigated so as to choose the optimal lag length in stable and unstable vector autoregressive (VAR) models both when autoregressive conditional heteroscedasticity (ARCH) is present and when it is not. The investigation covers both large and small sample sizes. The Monte Carlo simulation results show that SBC has relatively better performance in lag-choice accuracy in many situations. It is also generally the least sensitive to ARCH regardless of stability or instability of the VAR model, especially in large sample sizes. These appealing properties of SBC make it the optimal criterion for choosing lag length in many situations, especially in the case of financial data, which are usually characterized by occasional periods of high volatility. SBC also has the best forecasting abilities in the majority of situations in which we vary sample size, stability, variance structure (ARCH or not), and forecast horizon (one period or five). frequently, AICC also has good lag-choosing and forecasting properties. However, when ARCH is present, the five-period forecast performance of all criteria in all situations worsens.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- VAR
- lag length
- information criteria
- Monte Carlo simulations
- ARCH
- stability
- Economics
- Nationalekonomi
- Humanities and Social sciences
- Humaniora-samhällsvetenskap
- ARCH
- stability
- Monte Carlo simulations
- information criteria
- VAR
- lag length
- Econometrics
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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