selection lags (panel data)

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epresotto11
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selection lags (panel data)

Postby epresotto11 » Thu Aug 24, 2017 9:26 am

Hello, my name is Elen Presotto. I'm working with Student Version Eviews 9.5 for student.
I wonder if there is a possibility to use some command to choose the optimal lag using panel data?

Searching the user guide I found the selection of lag, but the command is for time series.
Thank you for your attention!

EViews Gareth
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Re: selection lags (panel data)

Postby EViews Gareth » Thu Aug 24, 2017 9:27 am

Optimal lag for what?
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epresotto11
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Joined: Thu Aug 24, 2017 9:14 am

Re: selection lags (panel data)

Postby epresotto11 » Thu Aug 24, 2017 9:37 am

I'm study prices and the model that used in necessary to define the selection lags
optimum for some variables !

epresotto11
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Re: selection lags (panel data)

Postby epresotto11 » Thu Aug 24, 2017 9:43 am

EViews Gareth wrote:Optimal lag for what?


The model is:
Y = x (-1) .... x (-9) + f + h
And I need to define which is the best lag

EViews Gareth
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Re: selection lags (panel data)

Postby EViews Gareth » Thu Aug 24, 2017 10:47 am

So you mean for a least squares regression including lags of the dependent variable, and you wish to know the most appropriate number of lags.

There isn't anything built in to do that for panels - you'll have to do it by estimating the different models and inspecting the information criteria (or any other measure you wish to use). You could write a program to automate this fairly easily.
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epresotto11
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Joined: Thu Aug 24, 2017 9:14 am

Re: selection lags (panel data)

Postby epresotto11 » Sun Aug 27, 2017 6:47 am

Thank you, in fact I need lags the independent variable, but any way thanks for your information. I'm going to find an alternative calculation. I just thought maybe there was a specific command for that.


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