Lag length criterion (need help)
Posted: Sun Jun 14, 2009 3:12 am
Can anybody tell the advantages using LR (sequential modified LR test statistic) to determine approprite lag?
The following paper may helpful to you.
Hatemi-J, A. and Hacker, R.S. (2009) Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criterion suggest different lag order? Applied Economics, 41(9), pp. 1121-1125.