VARLAG—Choice of lag length in a VAR

[TomDoan]

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:

1. It does a formal test of one lag length vs another longer one.
2. It uses the @VARLagSelect procedure to show an automatic choice mechanism.
3. It shows the inner workings of the @VARLagSelect procedure in case you need something more flexible than the procedure itself.

Detailed description