How to choose VAR optimal lag length (AIC, SC, HQ).

[rabbitzilla]

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* -11.30553* -10.85708 -11.12463*
2 1347.117 32.33791 9.08E-12 -11.2358 -10.41365 -10.90416
3 1374.427 50.82197 8.91E-12 -11.25589 -10.06004 -10.77351
4 1395.808 38.85671* 9.21E-12 -11.22442 -9.654859 -10.59129
5 1405.865 17.83946 1.05E-11 -11.09447 -9.151212 -10.3106
6 1415.287 16.3056 1.21E-11 -10.95902 -8.642054 -10.0244
7 1430.24 25.22409 1.32E-11 -10.87165 -8.18098 -9.786288
8 1443.658 22.05219 1.47E-11 -10.77094 -7.706562 -9.53483

[E-mily]

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