the command to determine the lag length for a VAR
Posted: Sun Feb 20, 2011 10:32 pm
I need to estimate a VAR model with Eviews7 on a lot of time series data.
I usually use the option 'view' / 'lag structure' / 'lag length criteria' on the VAR window.
But this time, I'd like to do that automatically by unning the command.
Does anyone know the command to estimate the optimal lag length with AIC criterion?
Thank you for your help!
I usually use the option 'view' / 'lag structure' / 'lag length criteria' on the VAR window.
But this time, I'd like to do that automatically by unning the command.
Does anyone know the command to estimate the optimal lag length with AIC criterion?
Thank you for your help!