Lag length selection in panel autoregression

Lag length selection in panel autoregression

Model selection by BIC is well known to be inconsistent in the presence of incidental parameters. This article shows that, somewhat surprisingly, even without fixed effects in dynamic panels BIC is inconsistent and overestimates the true lag length with considerable probability. The reason for the i...

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Bibliographic Details
Main Authors: HAN, Chirok, Peter C. B. PHILLIPS, SUL, Donggyu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
BIC
dynamic panel
lag selection
sequential testing
X-differencing
C33
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1893
https://ink.library.smu.edu.sg/context/soe_research/article/2893/viewcontent/LagLengthSelectionPanelAutoReg_2017_afv.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1893
https://ink.library.smu.edu.sg/context/soe_research/article/2893/viewcontent/LagLengthSelectionPanelAutoReg_2017_afv.pdf

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