Determining the lag order

For requesting general information about EViews, sharing your own tips and tricks, and information on EViews training or guides.

Moderators: EViews Gareth, EViews Moderator

owen57
Posts: 5
Joined: Mon Mar 26, 2018 8:24 am

Determining the lag order

Postby owen57 » Tue Mar 27, 2018 1:58 am

Good morning everyone.

When it comes to determining the lag order of a time series, the most common method is to calculate different information criteria and take the minimum value, sometimes we can also check the R squared value, however doing that i obtain a different lag order than the one calculated automatically by Eviews, so i would like to know if possible about the approach used by the program.

Thank you.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11731
Joined: Tue Sep 16, 2008 5:38 pm

Re: Determining the lag order

Postby EViews Gareth » Tue Mar 27, 2018 5:13 am

Depends on the procedure. But generally it is IC based.
Follow us on Twitter @IHSEViews

owen57
Posts: 5
Joined: Mon Mar 26, 2018 8:24 am

Re: Determining the lag order

Postby owen57 » Tue Mar 27, 2018 8:07 am

Thank you.


Return to “General Information and Tips and Tricks”

Who is online

Users browsing this forum: No registered users and 1 guest