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 : int

Best lag according to IC.