@article{Restrictions:760,
      recid = {760},
      author = {DeSerres, Alain and Guay, Alain},
      title = {Selection of the Truncation Lag in Structural VARs (or  VECMs) with Long-Run Restrictions},
      publisher = {Bank of Canada},
      address = {1995},
      pages = {1 online resource (v, 39 pages)},
      abstract = {authors examine the issue of lag-length selection in the  context of a structural vector autoregression (VAR) and a  vector error-correction model with long-run restrictions.  First, they show that imposing long-run restrictions  implies, in general, a moving-average (MA) component in the  stationary multivariate representation. Then they examine  the sensitivity of estimates of the permanent and  transitory components to the selection of the lag length  required in a VAR system to approximate this MA component.  In summary, they find that using a lag structure that is  too short can lead to a significant estimation bias of the  permanent and transitory components. In addition, in  comparing four different lag-selection criteria, they find  that the Schwarz information criterion systematically  underperforms relative to the other tests. More generally,  as the order of the VAR that best approximates the  data-generating process increases, the sequence-based tests  (Wald, likelihood ratio) tend to provide more reliable  results than the information-based tests (Akaike,  Schwarz).},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/760},
      doi = {https://doi.org/10.34989/swp-1995-9},
}