statsmodels.tsa.ar_model.AR.select_order¶
-
AR.
select_order
(maxlag, ic, trend='c', method='mle')[source]¶ Select the lag order according to the information criterion.
- Parameters
maxlag : int
The highest lag length tried. See AR.fit.
ic : {‘aic’,’bic’,’hqic’,’t-stat’}
Criterion used for selecting the optimal lag length. See AR.fit.
trend : {‘c’,’nc’}
Whether to include a constant or not. ‘c’ - include constant. ‘nc’ - no constant.
method : {‘cmle’, ‘mle’}, optional
The method to use in estimation.
‘cmle’ - Conditional maximum likelihood using OLS
‘mle’ - Unconditional (exact) maximum likelihood. See solver and the Notes.
- Returns
int
Best lag according to the information criteria.