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LagOrder: GAUSS module to determine the optimal lag order in the VAR model based on Information Criteria

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Author Info

  • Scott Hacker

    ()
    (Jonkoping University, Sweden)

  • Abdulnasser Hatemi-J

    ()
    (UAE University)

Abstract

This GAUSS module calculates four multivariate information criteria (namely- AIC, SBC, HQC and HJC) to determine the optimal lag order in a vector autoregressive (VAR) model. It also provides the matrix of coefficients based on suggested lag length by each information criterion.

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File URL: http://fmwww.bc.edu/repec/bocode/l/LagOrder.prg
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/l/LagOrder.txt
File Function: documentation
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number G00008.

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Programming language: GAUSS
Requires: GAUSS
Date of creation: 21 Nov 2009
Date of revision:
Handle: RePEc:boc:bocode:g00008

Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: lag order; information criteria;

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