statsmodels.tsa.ar_model.AR.select_order

AR.select_order(maxlag, ic, trend='c', method='mle')

Select the lag order according to the information criterion.

Parameters:

• maxlag (int) – The highest lag length tried. See AR.fit.
• ic (str {'aic','bic','hqic','t-stat'}) – Criterion used for selecting the optimal lag length. See AR.fit.
• trend (str {'c','nc'}) – Whether to include a constant or not. ‘c’ - include constant. ‘nc’ - no constant.

Returns:

bestlag – Best lag according to IC.

Return type:

int