Author Question: The lag length in a VAR using the BIC proceeds as follows: Among a set of candidate values of p, the ... (Read 144 times)

Mr. Wonderful

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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)

Question 2

A VAR with k time series variables consists of
 
  A) k equations, one for each of the variables, where the regressors in all equations are lagged values of all the variables
  B) a single equation, where the regressors are lagged values of all the variables
  C) k equations, one for each of the variables, where the regressors in all equations are never more than one lag of all the variables
  D) k equations, one for each of the variables, where the regressors in all equations are current values of all the variables



al

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Answer to Question 1

Answer: D

Answer to Question 2

Answer: A



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