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16:17
YouTube
NEDL
Optimal lag length: Akaike and Bayesian information criteria (Excel)
How one might select an optimal number of lags or parameters in an econometric model? A go-to approach is to use an information criterion. Today we are investigating the two most famous information criteria: Akaike (AIC) and Bayesian (BIC, also called the Schwartz information criterion), discussing the concepts behind them, and applying them to ...
5.5K views
Apr 14, 2022
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