Lag length selection
| LR | FPE | AIC | SC | HQ | |
|---|---|---|---|---|---|
| Japan | 5th lag | 2nd lag | 2nd lag | 0th lag | 1st lag |
| Canada | 6th lag | 2nd lag | 2nd lag | 1st lag | 1st lag |
| Mexico | 7th lag | 7th lag | 8th lag | 1st lag | 1st lag |
| Eurozone | 6th lag | 2nd lag | 2nd lag | 0th lag | 1st lag |
| LR | FPE | AIC | SC | HQ | |
|---|---|---|---|---|---|
| Japan | 5th lag | 2nd lag | 2nd lag | 0th lag | 1st lag |
| Canada | 6th lag | 2nd lag | 2nd lag | 1st lag | 1st lag |
| Mexico | 7th lag | 7th lag | 8th lag | 1st lag | 1st lag |
| Eurozone | 6th lag | 2nd lag | 2nd lag | 0th lag | 1st lag |
Source(s): Author’s own calculation
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