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 !!
Selin