Hi everyone, i am estimating this equation. However, no matter how many Lags i give to any independent variables they will become not significant (look at p-value)
Dependent Variable: CPI_TH12
Method: Least Squares
Date: 08/08/19 Time: 19:38
Sample (adjusted): 1988M02 2017M12
Included observations: 359 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 2.250106 0.099606 22.59013 0.0000
CPI_MR -4575.805 90.41203 -50.61057 0.0000
UUNEMR -1.409741 0.295577 -4.769455 0.0000
R-squared 0.878017 Mean dependent var -0.063431
Adjusted R-squared 0.877332 S.D. dependent var 4.786160
S.E. of regression 1.676304 Akaike info criterion 3.879382
Sum squared resid 1000.359 Schwarz criterion 3.911833
Log likelihood -693.3490 Hannan-Quinn criter. 3.892286
F-statistic 1281.223 Durbin-Watson stat 0.289010
Prob(F-statistic) 0.000000
I've tried many many times only this 3 lags giving cpi_mr significant at 95%
Dependent Variable: CPI_TH12
Method: Least Squares
Date: 08/08/19 Time: 20:08
Sample (adjusted): 1988M05 2017M12
Included observations: 356 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C -0.543682 0.279548 -1.944860 0.0526
CPI_MR(-3) 991.9006 253.0227 3.920204 0.0001
UUNEMR(-3) 0.514362 0.827388 0.621670 0.5346
R-squared 0.042000 Mean dependent var -0.043900
Adjusted R-squared 0.036573 S.D. dependent var 4.777832
S.E. of regression 4.689649 Akaike info criterion 5.936984
Sum squared resid 7763.461 Schwarz criterion 5.969638
Log likelihood -1053.783 Hannan-Quinn criter. 5.949973
F-statistic 7.738063 Durbin-Watson stat 2.114827
Prob(F-statistic) 0.000514
Since the literature mention "the number of lags was permitted to be between 0 and 11"
Should I ignore the lag operator?
forecasting
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forecasting
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Re: forecasting
Number of lags here means to use many lags, For example 3 would mean using x(-1) x(-2) and x(-3)
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