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

Markus Wråke markus.wrake at ivl.se
Sun Feb 1 00:46:07 CET 2009

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
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 Wråke (prev. Åhman)
Swedish Environmental Research Institute
Box 210 60
SE - 100 31 Stockholm

tel:           +46 (0)8 - 598 563 21
mobile:     +46 (0)8 - 598 563 21

fax:           +46 (0)8 - 598 563 90

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