HIGHLIGHTS
- who: Dietmar Bauer from the Department of Business Administration and Economics, Bielefeld University, Universitu00e4tsstrasse , have published the paper: Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes, in the Journal: Econometrics 2023, 11, 11. of /2023/
- what: This paper closes the following gap: the authors provide a general result for the asymptotic behavior of lag length selection using information criteria for I(2) processes, linking the performance for the I(2) processes to a related stationary process for which the results of HD can be applied.
SUMMARY
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