Annex 3.
Lag Length Selection
| Lag | LogL | LR | FPE | AIC | SC | HQ |
|---|---|---|---|---|---|---|
| 0 | −11446.78 | NA | 12612240 | 24.86381 | 24.87953 | 24.86981 |
| 1 | −4893.668 | 13049.31 | 8.493363 | 10.65292 | 10.71579 | 10.67691 |
| 2 | −4782.121 | 221.3988 | 6.797801 | 10.43023 | 10.54026* | 10.47221* |
| 3 | −4777.191 | 9.751732 | 6.858168 | 10.43907 | 10.59625 | 10.49905 |
| 4 | −4760.898 | 32.12752 | 6.750420 | 10.42323 | 10.62757 | 10.50120 |
| 5 | −4747.413 | 26.49957 | 6.685040 | 10.41349 | 10.66498 | 10.50946 |
| 6 | −4740.335 | 13.86495 | 6.713040 | 10.41767 | 10.71631 | 10.53162 |
| 7 | −4731.876 | 16.51478 | 6.720990 | 10.41884 | 10.76464 | 10.55079 |
| 8 | −4727.877 | 7.780533 | 6.794466 | 10.42970 | 10.82265 | 10.57964 |
| 9 | −4721.415 | 12.52970 | 6.832138 | 10.43521 | 10.87532 | 10.60315 |
| 10 | −4693.137 | 54.65309* | 6.552154* | 10.39335* | 10.88061 | 10.57928 |
| 11 | −4689.572 | 6.866232 | 6.630109 | 10.40515 | 10.93957 | 10.60908 |
| 12 | −4681.740 | 15.03460 | 6.647141 | 10.40769 | 10.98926 | 10.62961 |
Notes: LR: Sequential modified LR test statistic; FPE: Final prediction error; AIC: Akaike information criterion; SC: Schwarz information criterion; HQ: Hannan-Quinn information criterion.