Concepedia

Lag Selection

Lag Selection is a methodological procedure in autocorrelation analysis that determines the optimal number of time lags to include in a model to accurately capture temporal dependencies while avoiding overfitting.

108

Publications

14.9K

Citations

203

Authors

165

Institutions

Publications per year

2017–2026

19

Parents

Publications

108

LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power

Serena Ng, Pierre Perrón · Econometrica · 2001 · 4K citations

, , +14

Automatic Lag Selection in Covariance Matrix Estimation

Whitney K. Newey, Kenneth D. West · The Review of Economic Studies · 1994 · 3.3K citations

, , +11

Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Serena Ng, Pierre Perrón · Journal of the American Statistical Association · 1995 · 1.5K citations

, , +14

Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Serena Ng, Pierre Perrón · Journal of the American Statistical Association · 1995 · 512 citations

, , +14

A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis

Ventzislav Ivanov, Lutz Kilian · Studies in Nonlinear Dynamics and Econometrics · 2005 · 312 citations

, , +13

1–5 of 108

Authors

203

  1. SN
    Serena Ng

    Columbia University, United States

    6 publications · 6.1K citations

    6

    h-index

  2. AH
    Abdulnasser Hatemi‐J

    United Arab Emirates University, United Arab Emirates

    6 publications · 705 citations

    6

    h-index

  3. PP
    Pierre Perrón

    Boston University, United States

    6 publications · 6.1K citations

    6

    h-index

  4. LY
    Lijian Yang

    Michigan State University, United States

    4 publications · 267 citations

    4

    h-index

  5. RS
    R. Scott Hacker

    Jönköping University, Sweden

    3 publications · 178 citations

    3

    h-index

1–5 of 203

Institutions

165

  1. University of Michigan

    Ann Arbor, United States

    4 h-index

    5 publications

    911 citations

  2. Maastricht University

    Maastricht, The Netherlands

    4 h-index

    4 publications

    124 citations

  3. Yale University

    New Haven, United States

    3 h-index

    3 publications

    83 citations

  4. Jönköping University

    Jönköping, Sweden

    3 h-index

    3 publications

    334 citations

  5. Australian National University

    Canberra, Australia

    3 h-index

    4 publications

    134 citations

  6. Lund University

    Lund, Sweden

    3 h-index

    4 publications

    183 citations

  7. Michigan State University

    East Lansing, United States

    3 h-index

    3 publications

    241 citations

  8. Chinese Academy of Sciences

    Beijing, China

    2 h-index

    7 publications

    305 citations

1–8 of 165

Venues

  1. RePEc: Research Papers in Economics

    Repository · 4 publications · 103 citations

    4

    h-index

  2. arXiv (Cornell University)

    Repository · 3 publications · 125 citations

    3

    h-index

  3. Econometric Reviews

    3 publications · 88 citations

    3

    h-index

  4. 3

    h-index

  5. Journal of Time Series Analysis

    3 publications · 366 citations

    3

    h-index

1–5