| Panel A (LOGNUM, PRICE) | ||||||
|---|---|---|---|---|---|---|
| Lag | LogL | LR | FPE | AIC | SC | HQ |
| 0 | −303.032 | NA | 0.469603 | 4.919886 | 4.965374 | 4.938364 |
| 1 | 116.029 | 817.8479 | 0.000581 | −1.774672 | −1.638207 | −1.719237 |
| 2 | 187.656 | 137.4782 | 0.000195 | −2.865435 | −2.637993* | −2.773043 |
| 3 | 195.169 | 14.17624* | 0.000185 | −2.922083 | −2.603664 | −2.792734* |
| 4 | 199.710 | 8.423919 | 0.000183* | −2.930819* | −2.521423 | −2.764512 |
| Panel B (LOGNUM, VOL, PRICE) | ||||||
| Lag | LogL | LR | FPE | AIC | SC | HQ |
| 0 | −246.5275 | NA | 0.011232 | 4.024638 | 4.092870 | 4.052356 |
| 1 | 227.5589 | 917.5867 | 6.20e-06 | −3.476757 | −3.203827 | −3.365886 |
| 2 | 301.5213 | 139.5741 | 2.18e-06 | −4.524537 | −4.046909* | −4.330513* |
| 3 | 314.9473 | 24.68648* | 2.03e-06* | −4.595924* | −3.913598 | −4.318747 |
| 4 | 322.7938 | 14.04788 | 2.07e-06 | −4.577320 | −3.690296 | −4.216990 |