statsmodels.tsa.ar_model.AR.select_order

method

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

Select the lag order according to the information criterion.

Parameters

maxlagint

The highest lag length tried. See AR.fit.

icstr {‘aic’,’bic’,’hqic’,’t-stat’}

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

trendstr {‘c’,’nc’}

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

Returns

bestlagint

Best lag according to IC.