Which Lag Length Selection Criteria Should We Employ?
Estimating the lag length of autoregressive process for a time series is a crucial econometric exercise in most economic studies. This study attempts to provide helpfully guidelines regarding the use of lag length selection criteria in determining the autoregressive lag length. The most interesting...
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| Format: | Article |
| Language: | English |
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Economics Bulletin
2004
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| Online Access: | http://ir.unimas.my/id/eprint/80/ http://ir.unimas.my/id/eprint/80/1/Which%20Lag%20Length%20Selection%20Criteria%20Should%20We%20Employ%20%28abstract%29.pdf |
| _version_ | 1848834482415599616 |
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| author | Venus, Khim−Sen Liew |
| author_facet | Venus, Khim−Sen Liew |
| author_sort | Venus, Khim−Sen Liew |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | Estimating the lag length of autoregressive process for a time series is a crucial econometric exercise in most economic studies. This study attempts to provide helpfully guidelines regarding the use of lag length selection criteria in determining the autoregressive lag length. The most interesting finding of this study is that Akaike’s information criterion (AIC) and final prediction error (FPE) are superior than the other criteria under study in the case of small sample (60 observations and below), in the manners that they minimize the chance of under estimation while maximizing the chance of recovering the true lag length. One immediate econometric implication of this study is that as most economic sample data can seldom be considered “large” in size, AIC and FPE are recommended for the estimation the autoregressive lag length. |
| first_indexed | 2025-11-15T05:52:41Z |
| format | Article |
| id | unimas-80 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T05:52:41Z |
| publishDate | 2004 |
| publisher | Economics Bulletin |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-802016-12-28T04:20:19Z http://ir.unimas.my/id/eprint/80/ Which Lag Length Selection Criteria Should We Employ? Venus, Khim−Sen Liew AC Collections. Series. Collected works H Social Sciences (General) Estimating the lag length of autoregressive process for a time series is a crucial econometric exercise in most economic studies. This study attempts to provide helpfully guidelines regarding the use of lag length selection criteria in determining the autoregressive lag length. The most interesting finding of this study is that Akaike’s information criterion (AIC) and final prediction error (FPE) are superior than the other criteria under study in the case of small sample (60 observations and below), in the manners that they minimize the chance of under estimation while maximizing the chance of recovering the true lag length. One immediate econometric implication of this study is that as most economic sample data can seldom be considered “large” in size, AIC and FPE are recommended for the estimation the autoregressive lag length. Economics Bulletin 2004-09-17 Article PeerReviewed text en http://ir.unimas.my/id/eprint/80/1/Which%20Lag%20Length%20Selection%20Criteria%20Should%20We%20Employ%20%28abstract%29.pdf Venus, Khim−Sen Liew (2004) Which Lag Length Selection Criteria Should We Employ? Economics Bulletin, 3 (33). pp. 1-9. |
| spellingShingle | AC Collections. Series. Collected works H Social Sciences (General) Venus, Khim−Sen Liew Which Lag Length Selection Criteria Should We Employ? |
| title | Which Lag Length Selection Criteria Should We Employ? |
| title_full | Which Lag Length Selection Criteria Should We Employ? |
| title_fullStr | Which Lag Length Selection Criteria Should We Employ? |
| title_full_unstemmed | Which Lag Length Selection Criteria Should We Employ? |
| title_short | Which Lag Length Selection Criteria Should We Employ? |
| title_sort | which lag length selection criteria should we employ? |
| topic | AC Collections. Series. Collected works H Social Sciences (General) |
| url | http://ir.unimas.my/id/eprint/80/ http://ir.unimas.my/id/eprint/80/1/Which%20Lag%20Length%20Selection%20Criteria%20Should%20We%20Employ%20%28abstract%29.pdf |