Table IV VAR lag order selection...

Table IV

VAR lag order selection criteria

Lag	LogL	LR	FPE	AIC	SC	HQ
0	−517.2578	na	0.000131	10.92204	11.10902	10.99762
1	318.1425	1,531.567	1.00e−11	−5.461302	−3.965432*	−4.856647
2	419.1685	170.4813	3.45e−12*	−6.545176*	−3.740420	−5.411448*
3	448.2040	44.76312	5.44e−12	−6.129250	−2.015608	−4.466448
4	488.1941	55.81956	7.10e−12	−5.941544	−0.519016	−3.749670
5	542.4164	67.77791*	7.28e−12	−6.050343	0.681071	−3.329395
6	582.0268	43.73641	1.09e−11	−5.854724	2.185576	−2.604704
7	617.2856	33.78970	1.99e−11	−5.568450	3.780736	−1.789356
8	668.2137	41.37912	3.04e−11	−5.608620	5.049452	−1.300453

Lag	LogL	LR	FPE	AIC	SC	HQ
0	−517.2578	na	0.000131	10.92204	11.10902	10.99762
1	318.1425	1,531.567	1.00e−11	−5.461302	−3.965432*	−4.856647
2	419.1685	170.4813	3.45e−12*	−6.545176*	−3.740420	−5.411448*
3	448.2040	44.76312	5.44e−12	−6.129250	−2.015608	−4.466448
4	488.1941	55.81956	7.10e−12	−5.941544	−0.519016	−3.749670
5	542.4164	67.77791*	7.28e−12	−6.050343	0.681071	−3.329395
6	582.0268	43.73641	1.09e−11	−5.854724	2.185576	−2.604704
7	617.2856	33.78970	1.99e−11	−5.568450	3.780736	−1.789356
8	668.2137	41.37912	3.04e−11	−5.608620	5.049452	−1.300453

Notes: LR, sequential modified LR test statistic (each test at 5 percent level); FPE, final prediction error; AIC, Akaike information criterion; HQ, Hannan–Quinn information criterion. *Indicates lag order selected by the criterion

Source: Computed using Eviews 9.0 Package

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