Lag Structure for State space Model
Posted: 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?
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?