Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes

Bauer D (2023)
Econometrics 11(2): 11.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
When using vector autoregressive (VAR) models for approximating time series, a key step is the selection of the lag length. Often this is performed using information criteria, even if a theoretical justification is lacking in some cases. For stationary processes, the asymptotic properties of the corresponding estimators are well documented in great generality in the book Hannan and Deistler (1988). If the data-generating process is not a finite-order VAR, the selected lag length typically tends to infinity as a function of the sample size. For invertible vector autoregressive moving average (VARMA) processes, this typically happens roughly proportional to logT. The same approach for lag length selection is also followed in practice for more general processes, for example, unit root processes. In the I(1) case, the literature suggests that the behavior is analogous to the stationary case. For I(2) processes, no such results are currently known. This note closes this gap, concluding that information-criteria-based lag length selection for I(2) processes indeed shows similar properties to in the stationary case.
Stichworte
long VAR approximation; lag length selection; I(2) processe
Erscheinungsjahr
2023
Zeitschriftentitel
Econometrics
Band
11
Ausgabe
2
Art.-Nr.
11
eISSN
2225-1146
Page URI
https://pub.uni-bielefeld.de/record/2978268

Zitieren

Bauer D. Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes. Econometrics. 2023;11(2): 11.
Bauer, D. (2023). Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes. Econometrics, 11(2), 11. https://doi.org/10.3390/econometrics11020011
Bauer, Dietmar. 2023. “Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes”. Econometrics 11 (2): 11.
Bauer, D. (2023). Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes. Econometrics 11:11.
Bauer, D., 2023. Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes. Econometrics, 11(2): 11.
D. Bauer, “Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes”, Econometrics, vol. 11, 2023, : 11.
Bauer, D.: Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes. Econometrics. 11, : 11 (2023).
Bauer, Dietmar. “Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes”. Econometrics 11.2 (2023): 11.
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2023-04-21T11:00:49Z
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