用Eviews操作时,lag to include设置不同,出现结果不同,当为2和4的时候能统一,求问该选哪个?
当lag to include 设置为2时,出现结果
VAR Lag Order Selection Criteria
Endogenous variables: LNEX LNK LNL LNA
Exogenous variables: C
Date: 03/14/13 Time: 10:21
Sample: 1986 2011
Included observations: 24
Lag LogL LR FPE AIC SC HQ
0 -1.562842 NA 1.87e-05 0.463570 0.659912 0.515660
1 128.1381 205.3598* 1.47e-09* -9.011507* -8.029796* -8.751059*
2 140.6361 15.62253 2.24e-09 -8.719676 -6.952595 -8.250869
* indicates lag order selected by the criterion
LR: sequential 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
当lag to include设置为4时,
VAR Lag Order Selection Criteria
Endogenous variables: LNEX LNK LNL LNA
Exogenous variables: C
Date: 03/14/13 Time: 10:22
Sample: 1986 2011
Included observations: 22
Lag LogL LR FPE AIC SC HQ
0 10.47081 NA 6.53e-06 -0.588255 -0.389884 -0.541525
1 122.4719 173.0926 1.09e-09 -9.315628 -8.323771 -9.081976
2 136.4324 16.49882 1.56e-09 -9.130222 -7.344880 -8.709649
3 163.0613 21.78723 9.81e-10 -10.09648 -7.517652 -9.488986
4 233.6301 32.07675* 2.60e-11* -15.05728* -11.68497* -14.26287*
* indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion