Determining the lag order
Posted: 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.
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.