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- Fri Jul 28, 2017 2:36 pm
- Forum: Econometric Discussions
- Topic: Optimal lag for AR in big data
- Replies: 0
- Views: 2136
Optimal lag for AR in big data
Hi, there. For deciding a benchmark model, I should decide an optimal lag for AR. Raw data is about hourly prices and data size is about more than 35000. The version of Eviews is 7.2 However, Hannan Quinn criteria values decrease as P, lags increase until 23 like the attached image file. In the pict...