Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
The performance of different information criteria - namely Akaike, corrected Akaike (AICC), Schwarz Bayesian (SBC), and Hannan-Quinn - is investigated so as to choose the optimal lag length in stable and unstable vector autoregressive (VAR) models both when autoregressive conditional heteroscedasticity (ARCH) is present and when it is not. The investigation covers both large and small sample sizes
