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Hi,

I want to regress a variable on its lags. However, I want to choose the lags according to an criterion, so it should be variable until the criterion is not satisfied.

How does this work?

I suggest to run all possible specifications (all possible combinations of AR & MA terms, say, with max. AR order 15 and max. MA order 5). Store the criterion that you like in a matrix and then use a max operator.

Regards
Daniel M.