How to estimate the optimal number of lags in VAR models from the data?

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Armando MAROZZI 2020-3-31

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评论： Armando MAROZZI 2020-6-9

采纳的回答： azim

I am fitting a VAR model and I was wondering which commands (if any) in MATLAB calculates the optimal number of lags given the sample data. All the documentation I find online is on how to do it after the fitted model, I would like to get it before, calculated on my data - a similar function in R is called VARselect. Is there anything similar in MATLAB?

Thanks

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azim 2020-6-9

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hi,

i dont think there is a built in function for that but you can choose using aic and bic criteria. please follow the example on the following link:

mathworks.com/help/econ/aicbic.html

hope this helps

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Armando MAROZZI 2020-6-9

thanks!

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