Table IV. The test of lag selection by... | Emerald Publishing

Table IV.

The test of lag selection by Lütkepohl (2005)

Lag	LL	LR	df	p	FPE	AIC	HQIC	SBIC
0	−1,108.58				0.371547	16.0372	16.0887	16.1638*
1	−1,064.64	87.885	36	0.000	0.331592	15.9229	16.2832	16.8096
2	−1,018.74	91.798	36	0.000	0.288371	15.7805	16.4496	17.4271
3	−915.339	206.81	36	0.000	0.110108*	14.8106*	15.7887*	17.2173
4	−884.081	62.516*	36	0.004	0.119474	14.8789	16.1657	18.04

Lag	LL	LR	df	p	FPE	AIC	HQIC	SBIC
0	−1,108.58				0.371547	16.0372	16.0887	16.1638*
1	−1,064.64	87.885	36	0.000	0.331592	15.9229	16.2832	16.8096
2	−1,018.74	91.798	36	0.000	0.288371	15.7805	16.4496	17.4271
3	−915.339	206.81	36	0.000	0.110108*	14.8106*	15.7887*	17.2173
4	−884.081	62.516*	36	0.004	0.119474	14.8789	16.1657	18.04

Note:

*Means the suggestions of lag selection order from each method