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- Wed Dec 09, 2009 1:45 am
- Forum: Econometric Discussions
- Topic: Lag Selection and AIC
- Replies: 0
- Views: 3058
Lag Selection and AIC
Hello experts, I am currently trying to estimate an equation of the type yt = a + b1yt-1 + ... + bpyt-p + c1xt-1 + ... + cqxt-q + et for a Granger causality test. I would like to select the optimal lag lengths p and q with AIC. Comparing different lag combinations I find that AIC is becoming lower a...