Table 2 VAR lag order selection criteria...

Table 2

VAR lag order selection criteria

Endogenous variables: GN – E − GDP – dummy
Exogenous variables: consumers
Included observations: 712
Lag	LogL	LR	FPE	AIC	SC	HQ
0	−2873.684	NA	0.038078	8.083381	8.109045	8.093294
1	−1059.530	3602.827	0.000244	3.032388	3.160705*	3.081951
2	−1011.731	94.39052*	0.000223*	2.943064*	3.174034	3.032277*

Endogenous variables: GN – E − GDP – dummy
Exogenous variables: consumers
Included observations: 712
Lag	LogL	LR	FPE	AIC	SC	HQ
0	−2873.684	NA	0.038078	8.083381	8.109045	8.093294
1	−1059.530	3602.827	0.000244	3.032388	3.160705*	3.081951
2	−1011.731	94.39052*	0.000223*	2.943064*	3.174034	3.032277*

Note(s): * 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

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