Lag length selection in panel autoregression

DOI10.1080/07474938.2015.1114313OpenAlexW2316821818MaRDI QIDQ5864462

Donggyu Sul, Peter C. B. Phillips, Chirok Han

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/384957/1/__userfiles.soton.ac.uk_Library_SLAs_Work_for_ALL%2527s_Work_for_ePrints_Accepted%2520Manuscripts_Han_Lag.pdf

zbMATH Keywords

BIClag selectionsequential testingdynamic panelX-differencing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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