Lag length criteria

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Lag length criteria

Postby selin1000 » Mon May 20, 2013 5:47 am

Hi everybody!

I am estimating a VAR model between two variables and find the appropriate lag length to be 15 by the HQ criteria. I have two questions:
(1) In order to avoid the over-parametrization pb, Id like to reduce #lags. What should I do? Is there any other type of more sophisticated VAR that you'd recommend?
(2) How could I eliminate the insignificant lags from my VAR model?

Thank you so much for your response !!



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