Exercise: Information Criteria for AR(p) model
Channel: Willi Mutschler
Date: 02/11/2021

In this exercise we will compute the Akaike, Schwartz and Hanan-Quinn information criteria to select the lag order of an AR(p) process. To this end, we will briefly go over the intuition behind these information criteria and then write a MATLAB function that outputs the recommended lag for a selected criteria.