Lag length criteria, Macroeconomics

Assignment Help:

In order to estimate aVAR, alag length must be used in the estimation. There are many different criteria which can be used to signal the ideal lag length to use.Asteriou & Hall (2011) explain that the following three statistics are mainly used.

The first criterion which assesses the goodness of fit of the model is the Akaike Information criterion, (AIC), developed by Akaike (1974) and is written;

AIC=(RSS/n) e(2k/n)

The Schwarz Criterion (SC) developed by Schwarz (1978) with the following equation;

SC=(RSS/n) e(k/n)

The SCstatistic is likely to penalise complexity within models.
Finally, the Hannan and Quin criterion, (HQC);

HQC=(RSS/n) (ln?n)(2k/n)

The method of selecting the ideal lag length will be the lag number which minimises the statistics of each criterion. Should the tests produce conflicting results, then an explanation into which test that I will use will accompany the results.


Related Discussions:- Lag length criteria

Calculate the equilibrium level of income, The economy of Macroland has a b...

The economy of Macroland has a balanced budget with fixed government expenditures G = 150 and T = 150. Investment is autonomous: I = 200. The consumption function is the foll

Calculate the equilibrium price, Assume a market with demand Q = 16p^(--2) ...

Assume a market with demand Q = 16p^(--2) that is supplied by a monopoly with costs C(Q) = 6 + Q2/8. 1. Calculate the equilibrium price, output and monopoly profits. 2. What

Define individual consumer and total producer surplus, Define the individua...

Define the individual consumer surplus and total producer surplus. Individual consumer: Individual consumer surplus is the net profit to an individual buyer through the purc

Describe the working of commercial banks, Q. Describe the working of Commer...

Q. Describe the working of Commercial banks? Fact that currency inside commercial banks isn't money may strike you as odd though it is an important principle. 100 dollar bill i

What do learn by study of the supply curve concepts, What do learn by study...

What do learn by study the supply curve concepts? a. The relationship in between quantity of inputs and output b. Why production is frequently subject to reducing  returns

Explain about economic growth rate, Explain about Economys growth rate ...

Explain about Economys growth rate Economy's growth rate: Long-term economic growth, or tendency growth, is the rate of growth the economy can sustain, ignoring the short-term

The risk and term structure of interest rates, The Risk and Term Structure ...

The Risk and Term Structure of Interest Rates Expectations Theory and Bond Maturity Level Analysis Prepare calculations and a one to two page analysis, following the APA 6th edi

The LM curve asset market equilibrium., what are the factors that shift the...

what are the factors that shift the LM curve what is the real interest rate and the nominal interest rate. what is expected rate of inflation why has the real interest rate that cl

Externalies, how does government regulate externalies

how does government regulate externalies

How large is the money supply, Assume that the following data describe the ...

Assume that the following data describe the condition of the banking system: Total Reserves                         $200 billion Transactions Deposited          $700 billion

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd