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Table 5 VAR lag order selection criteria

From: Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets

Lag

LogL

LR

FPE

AIC

SC

HQ

0.00

109,714.25

NA

1.01e−87

− 140.72

− 140.65

− 140.70

1.00

111,446.14

3414.902

1.92e−88a

− 142.3786a

− 140.7926a

− 141.7889a

2.00

111,771.30

632.3844

2.23e−88

− 142.23

− 139.13

− 141.08

3.00

112,058.68

551.1774

2.72e−88

− 142.03

− 137.42

− 140.32

4.00

112,285.69

429.2586

3.58e−88

− 141.76

− 135.63

− 139.48

5.00

112,491.50

383.6420

4.85e−88

− 141.46

− 133.82

− 138.62

6.00

112,777.37

525.1484

5.94e−88

− 141.26

− 132.10

− 137.85

7.00

113,122.97

625.5969

6.75e−88

− 141.14

− 130.47

− 137.17

8.00

113,455.23

592.4855a

7.80e−88

− 141.00

− 128.81

− 136.47

  1. LR sequential modified LR test statistic (each test at 5% level), FPE final prediction error, AIC akaike information criterion, SC Schwarz information criterion, HQ Hannan–Quinn information criterion
  2. aLag order selected by the criterion