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

Personal income tax is progressive, Because the structure of the personal i...

Because the structure of the personal income tax is progressive, a larger share of income is taxed at higher rates as real income increases. Therefore, economic growth automaticall

Describe about monetary policy, Q. Describe about Monetary policy? By m...

Q. Describe about Monetary policy? By monetary policy we mean policy directed at controlling the money supply and interest rates. In most nations, central bank is responsible f

Determine total cost of product, Pucker Lemonade, Inc., is a small company ...

Pucker Lemonade, Inc., is a small company that produces bottled lemonade. Pucker's fixed cost includes the monthly rental cost of the lemon-smashing machines, the bottling machines

When patulin molds can occur, Occurrence: It is found in a range of foods b...

Occurrence: It is found in a range of foods based on fruits. Presence of patulin in fruit juice is a indication that the juice was extracted from poor quality fruit which is undesi

Classical model, using a graph of the classical labour market,illustrate th...

using a graph of the classical labour market,illustrate the effects of a real wage existing in the market that is lower than the equilibrium real wage.What will eventually happen i

Define the term- wages and income, Define the term- Wages and income R...

Define the term- Wages and income Remember that by wage we mainly mean what you receive for working one hour, whereas income is the total revenue from all sources over a longe

Open-market operations to influence, In your answer, discuss the Federal Re...

In your answer, discuss the Federal Reserve's use of open-market operations to influence the money supply and the respective consequences of such actions. Include a discussion of t

Mundel fleming model., The mundelfleming model takes the world interst rate...

The mundelfleming model takes the world interst rate r* as anexogenous variable.Let,consider what happen when this variable changes.a,what maight cause the world interest rate tori

Average price of a textbook, The demand for textbooks is Q=200-P+25U-50Pbee...

The demand for textbooks is Q=200-P+25U-50Pbeer. Assume that the unemployment rate U is 8 and the price of beer P beer is $2. When the average price of a textbook is P=$100, the el

Phillips Curve!, Using a short-run Phillips Curve, illustrate the change in...

Using a short-run Phillips Curve, illustrate the change in inflation and unemployment resulting from the increase in profit expectations.

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