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statsmodels.tsa.ar_model.AR.select_order

AR.select_order(maxlag, ic)[source]

Select the lag order according to the information criterion.

Parameters :

maxlag : int

The highest lag length tried. See AR.fit.

ic : str {‘aic’,’bic’,’hic’,’t-stat’}

Criterion used for selecting the optimal lag length. See AR.fit.

Returns :

bestlag : int

Best lag according to IC.

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