VAR Lag Order Selection Criteria

Endogenous variables: LCPI LGDPS LGI LINT

Exogenous variables: C
Date: 04/08/17 Time: 22:24
Sample: 1990 2013
Included observations: 22

Lag LogL LR FPE AIC SC HQ

0 13.50202 NA 4.96e-06 -0.863820 -0.665449 -0.817090

1 110.0834 149.2622 3.37e-09 -8.189402 -7.197545 -7.955750
2 136.5081 31.22921* 1.55e-09* -9.137103* -7.351761* -8.716530*

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

VAR Residual Serial Correlation LM Tests

Null Hypothesis: no serial correlation at lag
order h
Date: 04/08/17 Time: 22:26
Sample: 1990 2013
Included observations: 22

Lags LM-Stat Prob

1 13.97972 0.6002
2 10.77250 0.8233
3 7.871536 0.9526
4 14.17481 0.5857
5 15.86162 0.4627
6 17.58819 0.3486
7 15.44105 0.4926
8 10.13936 0.8593
9 23.53820 0.1001
10 13.12568 0.6635
11 13.40559 0.6429
12 12.94465 0.6768

lcpi lgdps lgi lint

lcpi(-3) lgdps(-3) lgi(-3) lint(-3)

VAR Granger Causality/Block Exogeneity Wald Tests

Date: 04/08/17 Time: 22:28
Sample: 1990 2013
Included observations: 21
Dependent variable: LCPI

Excluded Chi-sq df Prob.

LGDPS 3.517797 2 0.1722

LGI 5.754349 2 0.0563
LINT 3.377513 2 0.1847

All 7.630813 6 0.2664

Dependent variable: LGDPS

Excluded Chi-sq df Prob.

LCPI 1.928588 2 0.3813

LGI 2.409829 2 0.2997
LINT 3.107094 2 0.2115

All 8.759656 6 0.1876

Dependent variable: LGI

Excluded Chi-sq df Prob.

LCPI 0.135564 2 0.9345

LGDPS 0.025551 2 0.9873
LINT 0.372875 2 0.8299

All 0.976348 6 0.9865

Dependent variable: LINT

Excluded Chi-sq df Prob.

LCPI 6.296688 2 0.0429

LGDPS 3.196023 2 0.2023
LGI 0.949506 2 0.6220

All 7.815094 6 0.2520