Appropriate lag length in VAR/VECM

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Appropriate lag length in VAR/VECM

KAUSHIK BHATTACHARJEE
Hi,
how to estimate the lag length for a VECM of two variables?

Is it like take some max lag length and backstep..in each step see the AIC/SBIC?
or something else..... more intellegent/meaningful/objective  method exist?

A review of guidelines would be very helpful....
 
Thanks.Kaushik Bhattacharjee



     
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Re: Appropriate lag length in VAR/VECM

Arun.stat
Dear Kaushik, detailed procedures for selection of the lag-length of any VAR family of models is explicitly discussed (with underlying theory) in Lutkepohl-2006. You may wish to visit www.jmulti.de to find more details.