Optimum lag length for the TVP-VAR models

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akdeniz_coskun
Posts: 5
Joined: Thu May 01, 2014 10:17 am

Optimum lag length for the TVP-VAR models

Unread post by akdeniz_coskun »

Dear all,

I have used Nakajima (2011) codes in order to calculate time-varying parameter VAR, but the codes don't include to calculation of the optimum lag length.
This question has already been asked in this forum, but I haven't find any detailed reply. Does anyone know how to calculate the marginal likelihood to obtain the optimum lag for the TVP-VAR model? What do you alternatively suggest in order to calculate optimum lag length for TVP-VAR model?

Best regards
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