I want to use a dynamic panel data model and I am trying to figure out what will be the optimal lag to use. I am using the command pvarsoc and these are the results I have got:
Selection order criteria
Sample: 2011 - 2019 No. of obs = 1654
No. of panels = 233
Ave. no. of T = 7.099
+---------------------------------------------------------------------------------------------------
| lag | CD | J | J pvalue | MBIC | MAIC | MQIC
|----------------------------------------------------------------------------------------------------
| 1 | .9999375 121.1734 .0020412 -471.7027 -38.82659 -199.3
| 2 | .9999236 76.4745 .1364925 -397.8264 -51.5255 -179.9042
| 3 | .9999165 55.38916 .2159705 -300.3365 -40.61084 -136.8949
| 4 | .9999074 23.97426 .8453458 -213.1762 -40.02574 -104.2151
| 5 | .9998875 15.50961 .4876777 -103.0656 -16.49039 -48.58508
| 6 | .9967625 . . . . . |
+-------------------------------------------------------------------------------------------------
Could anyone provide any sources to interpret this chart? It would really be appreciated.
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