Lag length selection in panel autoregression
- Authors
- Han, Chirok; Phillips, Peter C. B.; Sul, Donggyu
- Issue Date
- 2017
- Publisher
- TAYLOR & FRANCIS INC
- Keywords
- BIC; dynamic panel; lag selection; sequential testing; X-differencing; C33
- Citation
- ECONOMETRIC REVIEWS, v.36, no.1-3, pp.225 - 240
- Indexed
- SCIE
SSCI
SCOPUS
- Journal Title
- ECONOMETRIC REVIEWS
- Volume
- 36
- Number
- 1-3
- Start Page
- 225
- End Page
- 240
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/86359
- DOI
- 10.1080/07474938.2015.1114313
- ISSN
- 0747-4938
- Abstract
- 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 inconsistency is explained, and the probability of overestimation is found to be 50% asymptotically. Three alternative consistent lag selection methods are considered. Two of these modify BIC, and the third involves sequential testing. Simulations evaluate the performance of these alternative lag selection methods in finite samples.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - College of Political Science & Economics > Department of Economics > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.