Lag length selection in panel autoregression
研究发现，即使没有固定效应，BIC在动态面板中也会不一致，高估真实滞后长度的概率渐近达到50%。论文提出了三种一致的滞后选择方法，并通过模拟评估了有限样本下的表现。
Model selection by BIC is well known to be inconsistent in the presence of incidental parameters. This paper shows that, somewhat surprisingly, even without fixed effects in dynamic panels BIC is inconsistent and overestimates the true lag length with considerable probability. The reason for the inconsistency is explained and the probability of overestimation is found to be 50% asymptotically. Three alternative consistent lag selection methods are considered. Two of these modify BIC and the third involves sequential testing. Simulations evaluate the performance of these alternative lag selection methods in finite samples.