Recent content by shandeep92

  1. S

    VAR Model Lag Length

    Ba I intend on estimating a reduced form VAR but I am struggling to choose a lag length. Initially my variables all contained a unit root but I first differenced them in order to induce Stationarity. Based on my estimation sample, the FPE, AIC, HQIC picked 4 lags while the SBIC chose 1 lag. I...