ARAutolags—procedure for choosing lags in an AR

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

ARAutolags—procedure for choosing lags in an AR

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@ARAutoLags quickly scans a set of univariate autoregressions looking for the one which minimizes one of four information criteria. This can be used in ARMA model identification, and also for diagnostics (best lag should be zero if the series is serially uncorrelated).

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Last bumped by TomDoan on Thu Aug 31, 2023 12:32 pm.
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