LagOrder: GAUSS module to determine the optimal lag order in the VAR model based on Information Criteria
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.
|Date of creation:||21 Nov 2009|
|Date of revision:|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
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