I am using the corrected AIC to select the lag order in a simple AR(p) model. I chose the the AICc since my sample is fairly small (n=135). The AICc minimal model is the AR(15). To me it seems like an overfit to include 15 lags in such a small sample.
Do you agree? And does anyone know a rule of thumb for max lag order relative to sample size?
arfunction in the
stats package in R:
Maximum order (or order) of model to fit. Defaults to the smaller of N-1 and 10*log10(N) where N is the number of observations except for method="mle" where it is the minimum of this quantity and 12.
To me these default make little sense. Where do they come from?