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Results tagged with model-selection
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user 335673
Model selection is a problem of judging which model from some set performs best. Popular methods include $R^2$, AIC and BIC criteria, test sets, and cross-validation. To some extent, feature selection is a subproblem of model selection.
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Optimal lag length in VAR/VECM: IC or Residual test?
I read so many answers in here that I should use IC(information criteria) to determine the optimal lag length in VAR/VECM.
But also it is important to check the residual of VAR/VECM has no-autocorrela …
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