The Lag Length in a VAR Using the BIC Proceeds

question 33

Multiple Choice

The lag length in a VAR using the BIC proceeds as follows: Among a set of candidate values of p, the estimated lag length _xxxis the value of p

• A)For which the BIC exceeds the AIC
• B)That maximizes BIC(p)
• C)Cannot be determined here since a VAR is a system of equations, not a single one
• D)That minimizes BIC(p)

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