Table 3 VAR models for optimal lag selection
Lag | LR | FPE | AIC | SC | HQ |
|---|---|---|---|---|---|
\({\text{Model}}\;1:GBMC, GDP, GDPC, EXP, INF, GGFC\) | |||||
0 | NA | 118.541 | 7.605 | 7.893 | 7.691 |
1 | 18.085 | 51.914 | 6.775 | 7.111 | 6.875 |
2 | 4.277* | 44.913* | 6.623* | 7.008* | 6.738* |
3 | 0.208 | 48.200 | 6.686 | 7.118 | 6.815 |
\(Model\;2: GBMC, CRED, CONC, SMC, SMTR\) | |||||
0 | NA | 443.007 | 8.927 | 9.167 | 8.998 |
1 | 45.418* | 55.041* | 6.838* | 7.126* | 6.924* |
2 | 0.068 | 59.339 | 6.909 | 7.245 | 7.008 |
3 | 2.695 | 55.796 | 6.841 | 7.225 | 6.955 |
\(Model \, 3:GBMC, GOV, IP, COR, RL\) | |||||
0 | NA | 437.023 | 8.913 | 9.153 | 8.984 |
1 | 34.938* | 89.437 | 7.323 | 7.611 | 7.409 |
2 | 3.049 | 83.074* | 7.245* | 7.581* | 7.345* |
3 | 0.037 | 89.842 | 7.317 | 7.701 | 7.431 |