Table 5.

Lag length criteria

Lag	LogL	LR	FPE	AIC	SC	HQ
0	176.478	NA	3.2e-13	-5.586	-5.364	-6.464
1	604.073	757.71	1.5e-15	-20.121	-18.061*	-20.383*
2	665.063	169	1.4e-18	-20.350	-16.475	-19.850
3	714.789	121.71	1.2e-17*	-20.784	-15.994	-18.536
4	781.146	123.53*	1.3e-15	-21.339*	-13.751	-18.404

Source: Authors’ calculations

Note: * indicates lag order selected by the criterion