Lag Structure for State space Model

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Adviti
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Joined: Fri Dec 08, 2017 1:47 pm

Lag Structure for State space Model

Postby Adviti » Sat Dec 09, 2017 12:44 am

Hi

I am working with a state space model which consists of the lags of both dependent and independent variable. How should I find the lag structure? What method do I follow?

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