How to estimate the optimal number of lags in VAR models from the data?

I am fitting a VAR model and I was wondering which commands (if any) in MATLAB calculates the optimal number of lags given the sample data. All the documentation I find online is on how to do it after the fitted model, I would like to get it before, calculated on my data - a similar function in R is called VARselect. Is there anything similar in MATLAB?

Thanks

Answer 1

[azim]

hi,

i dont think there is a built in function for that but you can choose using aic and bic criteria. please follow the example on the following link:

mathworks.com/help/econ/aicbic.html

hope this helps

[Armando MAROZZI]

thanks!