Optimum lag length for the TVP-VAR models
Posted: Thu Jun 30, 2016 4:13 pm
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
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