Select the lag order of DSGE-VAR models. The function tells you how many lags you have currently selected and refers you to the lag order selection frame of the Bayesian VAR tab where the lag order can be changed.
A suitable criterion for picking a lag order for a DSGE-VAR is the marginal likelihood. One option is to simply select the lag order jointly with the λ hyperparameter such that the model with the largest marginal likelihood is choosen. An alternative, is to pick the lag order such that the marginal likelihood of the VAR approximation of the DSGE-model, i.e., for λ=∞, is as close as possible to the marginal likelihood of the DSGE model (once we are conditioning the DSGE model on a training sample that is at least as long as the maximum lag order).
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