Length Lag
Posted: 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!
Thank you for your attention!