Abstract: There are several
techniques to estimate the lag length of a dynamic regression model. However,
none of them is completely satisfactory and a wrong choice may imply serious
problems in the estimation of regression parameters. This paper presents a review of the main criteria for
model selection used in the classical methodology. A
Monte Carlo
simulation study is conducted in order to compare the performance of
significance tests, adjusted final prediction error, Akaike
information criterion, Schwarz information criterion, Hannan-Quinn criterion and
corrected Akaike information criterion.
Keywords and phrases: distributed lag, lag length determination, Monte Carlo simulation.