A new method to choose optimal lag order in stable and unstable VAR models
By Abdulnasser Hatemi-J. 2003
266 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/a54f0b62cc0b25097cde858c5c965af40196420e
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Muhammad Shahbaz
- Syed Jawad Hussain Shahzad
- R. Scott Hacker
- Lokman Gunduz *
- S. Alam
- Nawaz Ahmad
- Abdulnasser Hatemi-J
- Ilhan Ozturk
In Statistics and Probability
- R. Scott Hacker
- Lokman Gunduz *
- Muhammad Shahbaz
- Syed Jawad Hussain Shahzad
- Nawaz Ahmad
- S. Alam
- Abdulnasser Hatemi-J
Citations in the corpus
- Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders? (2009, background): “2 For other new approaches to select the optimal lag order see Hatemi-J ( 2003 , 2006) and Bahmani-Oskooee and Brooks ( 2003 ).”
- Is the tourism-led growth hypothesis valid for Turkey? (2005, methodology): “A more reliable method suggested by Hatemi-J (2003) is also employed for determining the optimal lag order in the autoregressive (VAR) model.”
- Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application (2006, methodology): “Before testing for causality the lag order in the VAR model, i.e. p, was set to two based on the lag-choosing methodology noted in Hatemi-J (2003).”
- Financial development and environmental quality: The way forward (2016, methodology): “Asymmetric Causality Test To determine the direction of causation between the examined variables, we use the asymmetric causality test proposed by Hatemi-J (2012). This test uses Toda-Yamamoto (1995) as the basis for the causality analysis by considering nonlinear effects and distinguishes between t”
- Energy Consumption, Financial Development and Economic Growth in India: New Evidence from a Nonlinear and Asymmetric Analysis (2017, unknown): “…(2004) (1950–1996) - Abbas and Choudhury (2013) (1972–2008, agricultural sector) - Ahmad et al. (2016) (1971–2014) - Asghar (2008) (1971– 2003) - Alam et al. (2011) (1971– 2006) - Sehrawat et al. (2015) (1971–2011) These different results may be explained by the methods used (e.g.,…”