ARDL (automatic selection of lags)

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

j235
Posts: 14
Joined: Mon Oct 24, 2016 9:24 am

ARDL (automatic selection of lags)

Postby j235 » Mon Jan 23, 2017 8:20 am

I am performing ARDL model with Eviews automatic selection of lags,although I using automatic selection often Eviews suggest me variables which are not significant at 5% level.So my question what should do with this variables which is not significant ? Do I keep them or not ? :roll:

Bablowski
Posts: 18
Joined: Tue Aug 25, 2015 1:08 am

Re: ARDL (automatic selection of lags)

Postby Bablowski » Wed Jan 25, 2017 12:56 am

EViews suggest the model according to the lowest information criterion (Akaike by default) and not by statistical significance of variables. Try to change this criterion to Schwarz which suggests model with lower number of lags.

j235
Posts: 14
Joined: Mon Oct 24, 2016 9:24 am

Re: ARDL (automatic selection of lags)

Postby j235 » Wed Jan 25, 2017 12:57 am

Thank you


Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 21 guests