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LRAPP: GAUSS module to calculate multivariate IC with the LR test used in conflict to determine the optimal lag order in a VAR model

Author

Listed:
  • Scott Hacker

    (Jonkoping University, Sweden)

  • Abdulnasser Hatemi-J

    (UAE University)

Programming Language

GAUSS

Abstract

This GAUSS module calculates multivariate information criteria with the LR test used in conflict to determine the optimal lag order in a vector autoregressive (VAR) model. It also provides the estimated parameters for the selected model. For technical description see Hatemi-J A and Hacker R.S (2009) Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?, Applied Economics, 41(9), 1121-1125.

Suggested Citation

  • Scott Hacker & Abdulnasser Hatemi-J, 2010. "LRAPP: GAUSS module to calculate multivariate IC with the LR test used in conflict to determine the optimal lag order in a VAR model," Statistical Software Components G00010, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:g00010
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/l/LRapp.prg
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