Table 3 VAR lag order selection criteria...

Table 3

VAR lag order selection criteria

Endogenous variables: ln(M), ln(GDP), ln(PM) and ln(PD)
Lag	LogL	LR	FPE	AIC	SC	HQ
1	2377.514	NA	3.75e-15	−21.86587	−21.61585	−21.76486
3	2517.411	127.7568	1.38e-15	−22.86491	−22.11485*	−22.56189*
12	2673.873	37.45154	1.27e-15*	−22.98030	−19.98006	−21.76820
13	2689.911	24.35481	1.28e-15	−22.98066*	−19.73039	−21.66754
15	2720.349	26.98793*	1.32e-15	−22.96619	−19.21588	−21.45106

Endogenous variables: ln(M), ln(GDP), ln(PM) and ln(PD)
Lag	LogL	LR	FPE	AIC	SC	HQ
1	2377.514	NA	3.75e-15	−21.86587	−21.61585	−21.76486
3	2517.411	127.7568	1.38e-15	−22.86491	−22.11485*	−22.56189*
12	2673.873	37.45154	1.27e-15*	−22.98030	−19.98006	−21.76820
13	2689.911	24.35481	1.28e-15	−22.98066*	−19.73039	−21.66754
15	2720.349	26.98793*	1.32e-15	−22.96619	−19.21588	−21.45106

Note(s): * indicates lag order selected by the criterion

LR: sequentially 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

Source(s): Own elaboration

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