Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH

By R. Scott Hacker, Abdulnasser Hatemi-J. 2008

98 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b3e198f60bce8048b5b9a827ae9d6e740a41567f

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

1. Stephan B. Bruns
2. C. Gross
3. David I. Stern
4. Brantley Liddle
5. Muhammad Shahbaz
6. S. Sorrell
7. Avik Sinha
8. A. Kander

In Finance

1. David I. Stern
2. Stephan B. Bruns
3. C. Gross

In Management Science and Operations Research

1. David I. Stern
2. Stephan B. Bruns
3. C. Gross

Citations in the corpus

• Is There Really Granger Causality between Energy Use and Output? (2014, background): “The AIC, in particular, tends to over-estimate the number of lags when degrees of freedom are low and particularly when the VAR has a unit root or near unit root (Nickelsburg, 1985; Hacker and Hatemi-J, 2008; Gonzalo and Pitarakis, 2002).”