Length Lag

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Sahara
Posts: 10
Joined: Tue Apr 17, 2012 11:32 am
Location: Hamburg

Length Lag

Postby Sahara » Mon Dec 10, 2012 8:50 am

I have a question about lag length and the different criteria available i.e.: AIC and SIC. I have a serie with 3441 observations after adjustments and the lag length is 29. It seems a big high to me, because other researches with more data give 6 length lag. How can I know for sure which lag length to choose? The other question, but not as important, is which criteria to use.

Thank you for your attention!
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