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- Sun Feb 14, 2016 8:29 pm
- Forum: Econometric Discussions
- Topic: How to choose VAR optimal lag length (AIC, SC, HQ).
- Replies: 1
- Views: 3947
How to choose VAR optimal lag length (AIC, SC, HQ).
Dear All, I think that SC has the highest priority when selecting VAR optimal lag length. What can I do when minimum SC appears at lag 0? See example below. Thank you very much for help. Lag LogL LR FPE AIC SC HQ 0 1285.476 NA 1.00E-11 -11.13458 -11.05984* -11.10443 1 1330.136 86.98848 8.47e-12* -11...