You can determine the lag lengths in a VAR
A)by using confidence intervals.
B)by using critical values from the standard normal table.
C)by using either F-tests or information criteria.
D)with the help from economic theory and institutional knowledge.

Question

Quizplus · Accepted Answer

Lag lengths in a VAR can be determined by either F-tests or information criteria, such as Akaike Information Criterion (AIC) or Bayesian Information Criterion (BIC). These methods are commonly used to select the lag length that provides the best balance between model fit and complexity. Confidence intervals and critical values from the standard normal table are not used to determine the lag lengths in a VAR. While economic theory and institutional knowledge are important for interpreting the results of a VAR, they may not necessarily provide guidance on selecting the appropriate lag lengths.

You Can Determine the Lag Lengths in a VAR