[R-SIG-Finance] Function finding optimal lag length in ADL model using AIC?

[Markus Wråke]

Hi,
 
I have specified an ADL model with 8 exogenous variables and I want to
use the AIC (or BIC) to find the optimal lag length of each variable.
 
1. Where do I find a function that calculates the AIC for a linear
model? 
2. Is there a function that that finds one common optimal lag length for
the entire model by minimising the AIC (or BIC)?
3. Is there a function that finds the optimal lag length for each
individual variable by minimising the AIC?
 
I am new to R and apologise if the questions are trivial to some. I
have, however, search the archives and haven't been able to find the
answers and I would be very grateful for any help.
 
/Markus

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Markus Wråke (prev. Åhman)
Swedish Environmental Research Institute
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Sweden

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