Title: LagOrder: GAUSS module to determine the optimal lag order in the VAR model based on Information Criteria Authors: Scott Hacker and Abdulnasser Hatemi-J Abstract: This GAUSS module calculates four multivariate information criteria (namely- AIC, SBC, HQC and HJC) to determine the optimal lag order in a vector autoregressive (VAR) model. It also provides the matrix of coefficients based on suggested lag length by each information criterion. Applications are allowed only if proper reference is provided. For non-Commercial applications only. No performance guarantee is made. Bug reports are welcome. References: 1. Hatemi-J A. (2003) “A New Method to Choose Optimal Lag Order in Stable and Unstable VAR models” Applied Economics Letters, Vol 10(3), 135-137. 2. Hatemi-J A. (2008) "Forecasting Properties of a New Method to Determine Optimal Lag Order in Stable and Unstable VAR models". Applied Economics Letters, vol 15(4), 239 – 243. 3. Hacker R. S. and Hatemi-J A. (2008) “Optimal Lag Length Choice in the Stable and Unstable VAR Models under Situations of Homoscedasticity and ARCH”. Journal of Applied Statistics, vol 35(6), 601-615. Keywords: VAR, Lag order, Information Criterion Files needed: data file in text format.