ARAutolags—procedure for choosing lags in an AR
Posted: Thu Aug 31, 2023 12:32 pm
@ARAutoLags quickly scans a set of univariate autoregressions looking for the one which minimizes one of four information criteria. This can be used in ARMA model identification, and also for diagnostics (best lag should be zero if the series is serially uncorrelated).
Detailed Description
Detailed Description