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selection lags (panel data)
Posted: Thu Aug 24, 2017 9:26 am
by epresotto11
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!
Re: selection lags (panel data)
Posted: Thu Aug 24, 2017 9:27 am
by EViews Gareth
Optimal lag for what?
Re: selection lags (panel data)
Posted: Thu Aug 24, 2017 9:37 am
by epresotto11
I'm study prices and the model that used in necessary to define the selection lags
optimum for some variables !
Re: selection lags (panel data)
Posted: Thu Aug 24, 2017 9:43 am
by epresotto11
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
Re: selection lags (panel data)
Posted: Thu Aug 24, 2017 10:47 am
by EViews Gareth
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.
Re: selection lags (panel data)
Posted: Sun Aug 27, 2017 6:47 am
by epresotto11
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.