Thankyou for the video Nathan I have a doubt: While dealing with multivariate time series data, when we have to choose an optimal lag for the model ( say, for a model having 6 independent variables). Say I use AIC, SIC and HQ criterion, and AIC suggest an optimal lag of 4 while BIC and HQ suggest an optimal lag of 1. Which one should I consider as optimal for my model? Should the decision to choose rest only on theoretical rationale ( like the maximum lag a particular variable in the model takes to affect the independent variable) or is there any other way to decide? Looking forward to hear from you!
My dream is to meet you, professor! Love from my heart! You are amazing!
Both the content and the way they are delivered are superb :)
Excellent lecture sets. In the end, simpler, better.
Thankyou for the video Nathan I have a doubt: While dealing with multivariate time series data, when we have to choose an optimal lag for the model ( say, for a model having 6 independent variables). Say I use AIC, SIC and HQ criterion, and AIC suggest an optimal lag of 4 while BIC and HQ suggest an optimal lag of 1. Which one should I consider as optimal for my model? Should the decision to choose rest only on theoretical rationale ( like the maximum lag a particular variable in the model takes to affect the independent variable) or is there any other way to decide? Looking forward to hear from you!
Please make playlist of your videos.
Your old videos are really good
The playlist is in his website
How this is so well explained!
he used to teach at SIMUW