A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis

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Bank Liquidity Creation, Monetary Policy, and Financial Crises (2017, background): “21 Ivanov and Kilian (2005) show that “for quarterly VAR models, the Hannan-Quinn Criterion (HQC) appears to be the most accurate criterion with the exception of sample sizes smaller than 120, for which the Schwarz Information”
Estimating the effect of a gasoline tax on carbon emissions (2011, neutral): “6 For example, Ramsey et al. (1975) and Dahl (1979) use the relative prices of refinery products such as kerosene and residual fuel oil as instruments.”
OIL PRICE SHOCKS, SYSTEMATIC MONETARY POLICY, AND THE “GREAT MODERATION” (2009, methodology): “Estimates of lag length with information criteria, as suggested by Ivanov and Kilian (2005), and an upper bound of 8 suggest fewer than four lags for all three inventory specifications.”
Small sample confidence intervals for multivariate impulse response functions at long horizons (2006, result): “Since VARs are known to be sensitive to the selection of the lag length (see Kilian, 2001; Ivanov and Kilian, 2005), in order to make our results comparable with Eichenbaum and Evans (1995), we choose six lags, which is the same VAR lag length that they have.”