Lag selection criteria

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

What is lag selection criteria?

The lag selection criterion are the AIC, SIC, PIC, and Keating's (1995)'s procedure using, alternatively, the AIC and SIC criterion to select the lag order. The AIC and SIC are well-known. and the definition of each is presented without discussion : AIC = ln.

What is lag length selection?

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. This page synopsizes the trade-offs for more or fewer lags.

How do you select 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).