Lag Exclusion Test for VAR - Null and Alternative Hypotheses

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Max96
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Joined: Sat Dec 30, 2017 5:06 pm

Lag Exclusion Test for VAR - Null and Alternative Hypotheses

Postby Max96 » Sat Dec 30, 2017 5:20 pm

Hi, everyone.

I ran a lag exclusion test for my VAR model on EViews and arrived at the Chi-squared test statistics as shown in the attachment. Could someone please tell me what exactly are the null and alternative hypotheses for the individual and joint tests being used here and how should I decide which of these should I use, the individual or the joint test? Also, how can I find which lags are insignificant and how should I proceed to remove them from my model?

Many thanks! This is my first post here so apologies if its in the wrong section!

Best,

Max
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