AR.select_order()

AR.select_order(maxlag, ic, trend='c', method='mle') [source]

Select the lag order according to the information criterion.

Parameters:

Parameters:	maxlag : int The highest lag length tried. See `AR.fit`. ic : str {?aic?,?bic?,?hqic?,?t-stat?} Criterion used for selecting the optimal lag length. See `AR.fit`. trend : str {?c?,?nc?} Whether to include a constant or not. ?c? - include constant. ?nc? - no constant.
Returns:	bestlag : int Best lag according to IC.

maxlag : int

The highest lag length tried. See AR.fit.

ic : str {?aic?,?bic?,?hqic?,?t-stat?}

Criterion used for selecting the optimal lag length. See AR.fit.

trend : str {?c?,?nc?}

Whether to include a constant or not. ?c? - include constant. ?nc? - no constant.

Returns:

bestlag : int

Best lag according to IC.

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