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

R Scott Hacker and Abdulnasser Hatemi-J

Statistical Software Components from Boston College Department of Economics

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.

Language: GAUSS
Requires: GAUSS
Keywords: lag order; information criteria (search for similar items in EconPapers)
Date: 2009-11-21
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http://fmwww.bc.edu/repec/bocode/l/LagOrder.prg program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/LagOrder.txt documentation (text/plain)

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