Compute values for lag length criteria
Compute values for 'AICc', 'AIC', or 'BIC'.
Schwarz, Gideon E. (1978). "Estimating the dimension of a model", Annals of Statistics, 6 (2): 461–464.
get_vals_lagcrit(y, x, lag_crit, h, k, max_lags, n_obs)
y |
List with left (endogenous) variables. |
x |
List with right (exogenous) variables. |
lag_crit |
Integer: 'AICc'= 1, 'AIC' = 2, 'BIC' = 3. |
h |
Integer. |
k |
Integer. |
max_lags |
Integer. |
Akaike, H. (1974). "A new look at the statistical model identification", IEEE Transactions on Automatic Control, 19 (6): 716–723.
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.