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How do I test for maxlags for AIC and BIC when I have negative autcorrelation? Would the negative autocorrelation have any effect on my test for maxlags?

I tested the maxlag and found that higher the lags, the lower the AIC, which assumes a better AIC for higher lags. Does this make sense?

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  • $\begingroup$ What is your setting? What is maxlag in that setting? What kind of model do you have that allows you to test the maxlag? $\endgroup$ Commented Nov 15, 2016 at 11:43
  • $\begingroup$ I use the vector autoregressive model using data for inflation and gdp. When I increase lags in the model, AIC and BIC lowers. $\endgroup$ Commented Nov 15, 2016 at 11:53
  • $\begingroup$ Then I suppose you are not testing for maxlag, you are just selecting it upfront and then seeing which lag from zero (or one) up to maxlag delivers a model with the lowest AIC or BIC. But what you observe should not be happening. At least not for really high maxlag. Perhaps there is an error in your implementation. $\endgroup$ Commented Nov 15, 2016 at 12:49
  • $\begingroup$ @RichardHardy How would you test for maxlag? I tried testing for all of my variables (transformed and non-transformed) such as first difference, deltas and taking their logs, which all produce the same result, decreasing AIC or BIC for increasing lags. $\endgroup$ Commented Nov 15, 2016 at 22:20
  • $\begingroup$ If you insist on testing, then what is your null hypothesis? $\endgroup$ Commented Nov 20, 2016 at 9:53

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