Lag length selection criteria eviews

1. What is lag length selection criteria?
2. How do you choose lag length in cointegration?
3. What does lag length mean?

What is lag length selection criteria?

This lag length is frequently selected using an explicit statistical criterion such as the AIC or SIC. Symmetric lag VAR models are easily estimated; since the specification of all equations of the model is the same, estimation by ordinary least squares yields efficient parameter estimates.

How do you choose lag length in cointegration?

Usually, beginners in time series econometrics tend to skip step d. e. For the cointegration, the lag length is the lag length chosen from step d minus one (since we are running the model in first difference now, unlike in level when we used VAR to decide the lag length).

What does lag length mean?

The lag length is how many terms back down the AR process you want to test for serial correlation. Is checking the prior one alone enough, or do you need to check in groups of 3, 4, or more.