Hello,
I am trying to determine a lag order for my data with the help of AIC and/
or BIC in order to conduct further tests. It is about prices measured at a
daily frequency (weekends and holidays excluded).
My first approach was to approximate the process with an AR model using the
function
Hello,
I am trying to determine a lag order for my data with the help of AIC and/
or BIC in order to conduct further tests. It is about prices measured at a
daily frequency (weekends and holidays excluded).
1) My first approach was to approximate the process with an AR model using
the function
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