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

R Scott Hacker and Abdulnasser Hatemi-J

Statistical Software Components from Boston College Department of Economics

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.

Language: GAUSS
Requires: GAUSS
Keywords: information criterion; VAR (search for similar items in EconPapers)
Date: 2010-05-01
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