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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| 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 |