VARLAG—Choice of lag length in a VAR
Posted: Mon Dec 30, 2024 9:37 am
VARLAG.RPF is an example of lag length selection in a VAR.
This shows several different ways to approach the choice of lag length in a VAR:
This shows several different ways to approach the choice of lag length in a VAR:
- It does a formal test of one lag length vs another longer one.
- It uses the @VARLagSelect procedure to show an automatic choice mechanism.
- It shows the inner workings of the @VARLagSelect procedure in case you need something more flexible than the procedure itself.