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Hi, i have applied Diebold model in Eview9 to check return spillover among five return series ( daily data, around 3000 observation). I have some queries 1. Endogenous variable should be stationary? 2. On the basis of lag length criteria, appropriate lag is 1 (SC) and 4( AIC, HQ). When in run Diebo...

Hi, i have applied Diebold model in Eview9 to check return spillover among five return series ( daily data, around 3000 observation). I have some queries 1. Endogenous variable should be stationary? 2. On the basis of lag length criteria, appropriate lag is 1 (SC) and 4( AIC, HQ). When in run Diebol...