想请问下,我用了240个月度数据,一共4各变量,选择最大滞后阶数的结果如下:
VAR Lag Order Selection Criteria
Endogenous variables: CPI LNFDI LNFER LNY
Exogenous variables:
Date: 03/31/20 Time: 10:20
Sample: 2000M01 2019M12
Included observations: 230
Lag LogL LR FPE AIC SC HQ
1 625.6238 NA 5.86e-08 -5.301076 -5.061906* -5.204600
2 657.9023 62.31170 5.09e-08 -5.442629 -4.964288 -5.249676
3 695.1323 70.57500 4.23e-08 -5.627237 -4.909725 -5.337807
4 726.1942 57.80209 3.71e-08 -5.758210 -4.801527 -5.372303
5 749.6035 42.74752 3.48e-08 -5.822639 -4.626786 -5.340256
6 774.1650 43.99703 3.24e-08 -5.897087 -4.462062 -5.318227
7 780.8999 11.83009 3.52e-08 -5.816521 -4.142326 -5.141184
8 838.9438 99.93638 2.45e-08 -6.182120 -4.268754 -5.410307*
9 865.5957 44.96059* 2.24e-08* -6.274745* -4.122208 -5.406455
10 881.3668 26.05658 2.25e-08 -6.272754 -3.881047 -5.307988
* 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
滞后阶数选择9可以吗?会不会有点太大?