The lag length in a VAR using the BIC proceeds as follows: Among a set of candidate values of p,the estimated lag length xxxis the value of p
A)For which the BIC exceeds the AIC
B)That maximizes BIC(p)
C)Cannot be determined here since a VAR is a system of equations,not a single one
D)That minimizes BIC(p)

Question

The lag length in a VAR using the BIC proceeds as follows: Among a set of candidate values of p,the estimated lag length xxxis the value of p
A)For which the BIC exceeds the AIC
B)That maximizes BIC(p)
C)Cannot be determined here since a VAR is a system of equations,not a single one
D)That minimizes BIC(p)

Quizplus · Accepted Answer

The BIC (Bayesian Information Criterion) is used to select the model with the smallest value, so the lag length that minimizes BIC(p) is chosen.

The Lag Length in a VAR Using the BIC Proceeds