statsmodels.tsa.ar_model.AR.select_order

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

Select the lag order according to the information criterion.

Parameters
maxlagint

The highest lag length tried. See AR.fit.

ic{‘aic’,’bic’,’hqic’,’t-stat’}

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

trend{‘c’,’nc’}

Whether to include a constant or not. ‘c’ - include constant. ‘nc’ - no constant.

method{‘cmle’, ‘mle’}, optional

The method to use in estimation.

  • ‘cmle’ - Conditional maximum likelihood using OLS

  • ‘mle’ - Unconditional (exact) maximum likelihood. See solver and the Notes.

Returns
int

Best lag according to the information criteria.