以下是引用oldman在2005-7-26 0:11:47的发言: hi, Netdagger, I don't what happened, I couldn't send you email, I hence post my reply here and I suppose you will see it soon. thank you for your question, I have never think of it before. accordingto the definition of r-square, r-square is for knowing howwell themodel explain the data set, but in deciding the lag-length, we wannaknow the power of new-added lag value in explaining the present value,hence, it is meaningless to consider r-square in decidinglag length.actually, r-square should be growing as the increase of laglengthsuppose there is no colinearity and autocorelation caused bynew-addedlag value, you can porve this if you want to get down to thisquestion,alternatively, you also can find solution in many books. ifyou want tosay r-square paly a role in deciding the lag length, Isuggest you checkthe change of the first difference of r-square, maybeit contains someinformation about how good the model is, but in myview, it doesn't makesense. above is my view, I cann't assure you that my interpretation isright, if you have your interpretation, please let me know.
Hi, oldman
Thanks for your msg, I will try it in the future and report the result to u.
Many