Method of Variable selection for VAR model

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vikas.trades25
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Joined: Fri Jul 03, 2015 7:32 am

Method of Variable selection for VAR model

Postby vikas.trades25 » Fri Jul 03, 2015 7:43 am

Hi,

I need to build a weighted index, given some variables using the VAR (vector auto regression) approach. The weights of the variable are to be decided by a impulse response function.
I need some approach on deciding what all variables to go in the model. I have a pre-selected bunch of variables(based on prior), but how screen them further in building a good model.
Can anyone suggest me papers or approach where optimal selection of variables in VAR is explained.
I will not be using Eviews, so please give me a general approach on how to approach this
Thanks

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