VAR Lag Order Selection Criteria |
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Endogenous variables: DLNSP DLNM1 DLNCPI IR |
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Exogenous variables: C |
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Sample: 2001M01 2012M06 |
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Included observations: 125 |
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Lag | LogL | LR | FPE | AIC | SC | HQ |
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0 | 840.4483 | NA | 1.81e-11 | -13.38317 | -13.29267 | -13.34641 |
1 | 1075.593 | 451.4786 | 5.43e-13 | -16.88949 | -16.43696* | -16.70566 |
2 | 1102.196 | 49.37398 | 4.59e-13 | -17.05913 | -16.24458 | -16.72822* |
3 | 1119.605 | 31.19762 | 4.50e-13 | -17.08168 | -15.90510 | -16.60370 |
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7 | 1186.241 | 27.18544 | 4.45e-13* | -17.12386* | -14.49919 | -16.05760 |
8 | 1194.243 | 11.77830 | 5.14e-13 | -16.99589 | -14.00919 | -15.78255 |
9 | 1211.967 | 24.95555 | 5.11e-13 | -17.02347 | -13.67475 | -15.66306 |
10 | 1222.504 | 14.16149 | 5.74e-13 | -16.93606 | -13.22532 | -15.42858 |
11 | 1235.185 | 16.23192 | 6.26e-13 | -16.88296 | -12.81019 | -15.22841 |
12 | 1260.753 | 31.09089* | 5.60e-13 | -17.03605 | -12.60126 | -15.23443 |
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* indicates lag order selected by the criterion |
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LR: sequential modified LR test statistic (each test at 5% level) |
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FPE: Final prediction error |
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AIC: Akaike information criterion |
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SC: Schwarz information criterion |
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HQ: Hannan-Quinn information criterion |
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