select_lag_order

impulso.select_lag_order(data, max_lags=12)

Select optimal VAR lag order using AIC, BIC, and Hannan-Quinn.

Uses OLS estimation (fast) to compute information criteria for each candidate lag order from 1 to max_lags.

Parameters:

• data (VARData) – VARData instance.

• max_lags (int) – Maximum number of lags to evaluate.

Returns:

LagOrderResult with optimal lag orders and full criteria table.

Return type:

LagOrderResult

Expand for references to impulso.select_lag_order

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