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


  • Scott Hacker

    () (Jonkoping University, Sweden)

  • Abdulnasser Hatemi-J

    () (UAE University)


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.

Suggested Citation

  • Scott Hacker & Abdulnasser Hatemi-J, 2009. "LagOrder: GAUSS module to determine the optimal lag order in the VAR model based on Information Criteria," Statistical Software Components G00008, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:g00008

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    lag order; information criteria;


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