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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書目詳細資料
Main Authors:	HAN, Chirok, Peter C. B. PHILLIPS, SUL, Donggyu
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2017
主題:	BIC dynamic panel lag selection sequential testing X-differencing C33 Econometrics
在線閱讀:	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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