In Section 13.9 you were introduced to the Schwarz Information criterion (SIC) to determine lag length. How

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In Section 13.9 you were introduced to the Schwarz Information criterion (SIC) to determine lag length. How would you use this criterion to determine the appropriate lag length in a VAR model?

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Basic Econometrics

ISBN: 978-0073375779

5th edition

Authors: Damodar N. Gujrati, Dawn C. Porter

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