I am quite new to time series analysis and I am currently working on improving a VAR model in R. The problem is that when I want to find out what number of lags is best (by using the criterions "AIC", "HQ", "SC" and "FPE"), all of the ICs are telling me to use lag=1. This is my code (I used "AIC" in this example, but all the others are suggesting the same):
> attach(data) > diffa<-diff(V1) > diffb<-diff(log(V2)) > adf.test(diffa) > adf.test(diffb) > ts.a<-ts(diffa) > ts.b<-ts(diffb) > ts.y<-ts.union(ts.a,ts.b) > VAR.y<-VAR(ts.y,type="const",lag.max=10,ic="AIC") > summary(VAR.y)
I already made sure the variables are stationary. Other papers on the topic I am working on are always stating that the criteria are telling them to use multiple lags. I use similar data and I am worried because even when using data from different countries, I always get a lag of 1. The data is similar but not the same, could it be that it is a lucky coincidence? Or did I miss anything? Should I check for anything else? As stated above, I am new to this and help is very much appreciated.