Lag length criteria, Macroeconomics

Assignment Help:

Lag Length criteria

VAR Lag Order Selection Criteria

 

 

 

 

Endogenous variables: OIL EXCH R RPI LUNEMP GDP 

 

 

 

Exogenous variables: C 

 

 

 

 

Date: 04/10/12   Time: 09:40

 

 

 

 

Sample: 1980Q1 2011Q4

 

 

 

 

Included observations: 90

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Lag

LogL

LR

FPE

AIC

SC

HQ

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0

-1297.398

NA 

 152838.1

 28.96439

 29.13105

 29.03160

1

-629.2589

 1232.345

 0.121419

 14.91686

 16.08344

 15.38730

2

-546.9702

 140.8050

 0.043857

 13.88823

  16.05473*

  14.76189*

3

-502.2073

 70.62590

 0.037065

 13.69350

 16.85992

 14.97039

4

-469.5335

 47.19560

 0.042007

 13.76741

 17.93376

 15.44753

5

-424.0268

 59.66430

 0.037071

 13.55615

 18.72242

 15.63950

6

-377.6019

 54.67826

 0.033616

 13.32449

 19.49068

 15.81106

7

-312.0832

 68.43057

 0.021261

 12.66852

 19.83464

 15.55832

8

-247.3143

  59.01173*

  0.014906*

  12.02921*

 20.19525

 15.32223

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 * indicates lag order selected by the criterion

 

 

 

 LR: sequential modified LR test statistic (each test at 5% level)

 

 

 FPE: Final prediction error

 

 

 

 

 AIC: Akaike information criterion

 

 

 

 

 SC: Schwarz information criterion

 

 

 

 

 HQ: Hannan-Quinn information criterion

 

 

 

 

 

 

 

 

 

 

Fig - Table of Lag Order Selection Criteria from Eviews

From Fig it can be seen that the AIC statistic minimises at a lag length of 8. Therefore, according to Akaike, this should be the lag length which is used in the VAR model. However it can also be seen that the SC and HQC both minimise at the lag length 2. As the lag length 2 satisfies more than one criterion, and therefore the majority of criteria assessed in this paper, this length will be chosen.This length should produce the best goodness of fit for the VAR model.


Related Discussions:- Lag length criteria

What is store of value - economic functions of money, Store of value - Econ...

Store of value - Economic functions of money If you are a fisherman and have a temporary surplus of fish that you want to store for the future, storing the fish might not b

Weights of a sample of five boxes, The weights of a sample of five boxes be...

The weights of a sample of five boxes being sent by FedEx are: 48, 24, 28, 12, and 40. (a) Compute the range. (b) Compute the mean deviation. (c) Compute the standard devi

Economic data required for the assignment, Must use current data! I do not ...

Must use current data! I do not need a response until later this week, so take your time. In addition, I will be using your information as reference only. I will not plagiarize. Th

Survivor Island, the central economic problem facing the group of survivors...

the central economic problem facing the group of survivors

Effects in addition to the direct effect on dairy prices, Subsidy programs ...

Subsidy programs are likely to have a number of secondary effects in addition to the direct effect on dairy prices. What impact do you suppose farm subsidies are likely to have on

Investment, What are the basic differences between the investment curve and...

What are the basic differences between the investment curve and an investment demand curve for an economy

Show the ad curve over time, Q. Show the AD curve over time? With infla...

Q. Show the AD curve over time? With inflation, AD curve will no longer be stable over time. In its place, it will glide upwards or downwards at a rate determined by growth rat

Point of service option, An HMO has a point of service option for its membe...

An HMO has a point of service option for its members, but will pay only 80 percent of approved charges. If a member goes out of network for a medical procedure with a charge of $20

Combination, take one set ( lk& output) to prove

take one set ( lk& output) to prove

Aggregate demand curve slopes downward, Which of the following is a reason ...

Which of the following is a reason why the aggregate demand curve slopes downward? a. At a higher price level, fewer goods and services are available. b. Periods when the price lev

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd