Choosing Lag Order

Impulso provides two ways to set the lag order for your VAR model.

Fixed lag order

If you know the lag order you want, pass an integer:

from impulso import VAR

spec = VAR(lags=4, prior="minnesota")

Automatic selection via information criteria

Pass a criterion name ("aic", "bic", or "hq") and Impulso selects the optimal lag via OLS:

spec = VAR(lags="bic", prior="minnesota")

You can cap the search range:

spec = VAR(lags="aic", max_lags=12, prior="minnesota")

Inspecting the criteria table

Use select_lag_order directly to see all criteria values:

from impulso import select_lag_order

ic = select_lag_order(data, max_lags=8)
print(f"AIC selects {ic.aic} lags, BIC selects {ic.bic} lags")
ic.summary()  # Returns a DataFrame with all criteria by lag