Which Lag Length Selection Criteria Should We Employ?

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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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Bibliographic Details
Main Author:	Venus, Khim−Sen Liew
Format:	Article
Language:	English
Published:	Economics Bulletin 2004
Subjects:	AC Collections. Series. Collected works H Social Sciences (General)
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

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