Table 6 Lag length selection criterion...

Table 6

Lag length selection criterion

Lag	LogL	LR	FPE	AIC	SC	HQ
0	−489.8299	NA	0.2937	12.9641	13.4207	13.1468
1	140.9739	1120.2296	5.02e-08	−2.6227	−1.4051*	−2.1357
2	188.5839	79.14383	2.82e-08	−3.2100	−1.2314	−2.4186*
3	217.9846	45.0557	2.59e-08	−3.3242	−0.5848	−2.2285
4	246.5175	40.0201*	2.48e-08	−3.4160	0.0844	−2.0159
5	275.0498	36.3139	2.45e-08*	−3.5078*	0.7537	−1.8032
6	292.7503	20.2292	3.35e-08	−3.3182	1.7042	−1.3093
7	319.4509	27.0473	3.82e-08	−3.3624	2.4211	−1.0490

Lag	LogL	LR	FPE	AIC	SC	HQ
0	−489.8299	NA	0.2937	12.9641	13.4207	13.1468
1	140.9739	1120.2296	5.02e-08	−2.6227	−1.4051*	−2.1357
2	188.5839	79.14383	2.82e-08	−3.2100	−1.2314	−2.4186*
3	217.9846	45.0557	2.59e-08	−3.3242	−0.5848	−2.2285
4	246.5175	40.0201*	2.48e-08	−3.4160	0.0844	−2.0159
5	275.0498	36.3139	2.45e-08*	−3.5078*	0.7537	−1.8032
6	292.7503	20.2292	3.35e-08	−3.3182	1.7042	−1.3093
7	319.4509	27.0473	3.82e-08	−3.3624	2.4211	−1.0490

Note(s): * indicates the lag order selected by the following criterion; Hannan-Quinn information criterion (HQ), Akaike information criterion (AIC), Final prediction error (FPE), Schwarz information criterion (SC) and Sequential modified LR test statistic (each test at 5% level). This study uses the AIC

Source(s): Authors' computation

[ViewLarge]

Sharing Unavailable