{"id":"https://openalex.org/W2102680945","doi":"https://doi.org/10.1080/000368499324237","title":"Lag length selection in vector autoregressive models: symmetric and asymmetric lags","display_name":"Lag length selection in vector autoregressive models: symmetric and asymmetric lags","publication_year":1999,"publication_date":"1999-04-01","ids":{"openalex":"https://openalex.org/W2102680945","doi":"https://doi.org/10.1080/000368499324237","mag":"2102680945"},"language":"en","primary_location":{"id":"doi:10.1080/000368499324237","doi":"https://doi.org/10.1080/000368499324237","is_oa":false,"landing_page_url":"https://doi.org/10.1080/000368499324237","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5030263014","display_name":"\u00d6mer \u00d6z\u00e7i\u00e7ek","orcid":"https://orcid.org/0000-0001-5617-2360","observed_orcids":["https://orcid.org/0000-0001-5617-2360"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"OMER OZCICEK","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5053947701","display_name":"W. Douglas McMillin","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"W. DOUGLAS McMILLIN","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.474,"has_fulltext":false,"cited_by_count":91,"citation_normalized_percentile":{"value":0.94428969,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":99},"biblio":{"volume":"31","issue":"4","first_page":"517","last_page":"524"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.5077999830245972,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.5077999830245972,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.22290000319480896,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.15489999949932098,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/lag-length-selection","display_name":"lag selection","score":0.9850000143051147},{"id":"https://openalex.org/keywords/vector-autoregression","display_name":"vector autoregression","score":0.9350000023841858},{"id":"https://openalex.org/keywords/information-criteria","display_name":"information criteria","score":0.699999988079071},{"id":"https://openalex.org/keywords/akaike-information-criterion","display_name":"Akaike information criterion","score":0.781000018119812},{"id":"https://openalex.org/keywords/sic","display_name":"SiC","score":0.9350000023841858},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.9210000038146973},{"id":"https://openalex.org/keywords/impulse-response-functions","display_name":"impulse response functions","score":0.9449999928474426},{"id":"https://openalex.org/keywords/model-selection","display_name":"model selection","score":0.44999998807907104}],"concepts":[{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.8400560021400452},{"id":"https://openalex.org/C75778745","wikidata":"https://www.wikidata.org/wiki/Q342626","display_name":"Lag","level":2,"score":0.7916597127914429},{"id":"https://openalex.org/C159009313","wikidata":"https://www.wikidata.org/wiki/Q5283159","display_name":"Distributed lag","level":2,"score":0.6762809157371521},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6227380633354187},{"id":"https://openalex.org/C72279823","wikidata":"https://www.wikidata.org/wiki/Q1139726","display_name":"Impulse response","level":2,"score":0.567186176776886},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.5150258541107178},{"id":"https://openalex.org/C93959086","wikidata":"https://www.wikidata.org/wiki/Q6888345","display_name":"Model selection","level":2,"score":0.5126263499259949},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.43796128034591675},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4334104359149933},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3427298665046692},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.33534449338912964},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2300623655319214},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C31258907","wikidata":"https://www.wikidata.org/wiki/Q1301371","display_name":"Computer network","level":1,"score":0.0},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1080/000368499324237","doi":"https://doi.org/10.1080/000368499324237","is_oa":false,"landing_page_url":"https://doi.org/10.1080/000368499324237","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.27.4267","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.27.4267","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.bus.lsu.edu/economics/papers/pap97_27.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:taf:applec:v:31:y:1999:i:4:p:517-524","doi":null,"is_oa":false,"landing_page_url":"http://www.tandfonline.com/doi/abs/10.1080/000368499324237","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":13,"referenced_works":["https://openalex.org/W1480431879","https://openalex.org/W1482241473","https://openalex.org/W1552399913","https://openalex.org/W1976093592","https://openalex.org/W1983817501","https://openalex.org/W2026488516","https://openalex.org/W2060558872","https://openalex.org/W2080720591","https://openalex.org/W2113712870","https://openalex.org/W2321415323","https://openalex.org/W2327683694","https://openalex.org/W4248666586","https://openalex.org/W4299846046"],"related_works":["https://openalex.org/W1845196317","https://openalex.org/W1486416233","https://openalex.org/W2153799213","https://openalex.org/W2098412692","https://openalex.org/W2005821231","https://openalex.org/W2371562557","https://openalex.org/W2756171593","https://openalex.org/W2065579105","https://openalex.org/W2004880515","https://openalex.org/W2046272820"],"abstract_inverted_index":{"This":[0],"study":[1,7],"used":[2],"Monte":[3],"Carlo":[4],"simulations":[5],"to":[6,95],"the":[8,40,51,62,70,85,97,103],"performance":[9,73],"of":[10,50,65,74,87],"alternative":[11,36,56],"lag":[12,17,20,104],"selection":[13],"criterion":[14,94],"for":[15,102],"symmetric":[16],"and":[18,29,47,53,82],"asymmetric":[19],"vector":[21],"autoregressive":[22],"models.":[23],"Lag":[24],"models":[25,75,88],"with":[26,30,76,89],"short":[27],"lags":[28,32,66,77,90],"long":[31],"were":[33,39,58],"considered.":[34],"The":[35,55],"criteria":[37,57],"considered":[38],"AIC,":[41],"SIC,":[42],"Phillips'":[43],"Posterior":[44],"Information":[45],"Criterion,":[46],"Keating's":[48],"modification":[49],"AIC":[52],"SIC.":[54],"evaluated":[59],"by":[60,68,83],"computing":[61,69],"frequency":[63],"distribution":[64],"selected,":[67],"out-of-sample":[71],"forecasting":[72],"selected":[78,91],"using":[79,92],"each":[80,93],"criterion,":[81],"comparing":[84],"ability":[86],"mimic":[96],"\u2018true\u2019":[98],"impulse":[99],"response":[100],"functions":[101],"model.":[105]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":9},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":9},{"year":2022,"cited_by_count":8},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":6},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
