get_vals_lagcrit function

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)

Arguments

• 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.

References

Akaike, H. (1974). "A new look at the statistical model identification", IEEE Transactions on Automatic Control, 19 (6): 716–723.