Hi,
I have specified an ADL model with 8 exogenous variables and I want to
use the AIC (or BIC) to find the optimal lag length of each variable.
1. Where do I find a function that calculates the AIC for a linear
model?
2. Is there a function that that finds one common optimal lag length
for the entire model by minimising the AIC (or BIC)?
3. Is there a function that finds the optimal lag lengths for each
individual variable by minimsing the AIC?
I am new to R and apologise if the questions are trivial to some. I
have, however, search the archives and haven't been able to find the
answers and I would be very grateful for any help.
/Markus
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Markus WrÃ¥ke (prev. Ã
hman)
Swedish Environmental Research Institute
IVL AB
Box 210 60
SE - 100 31 Stockholm
Sweden
tel: +46 (0)8 - 598 563 21
mobile: +46 (0)8 - 598 563 21
fax: +46 (0)8 - 598 563 90
www.ivl.se
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