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Sorry to post here again.. I am really short of time and could not find an answer to my question throughout the forum because it is a really basic one. I want to put dummy variable in a VAR model and I have to check the significance of this dummy variable for each of the variables in VAR model. Is i...

I am trying to find out if there is a serial correlation in my VAR model's residuals and got a bit confused. Lets suppose we are doing a LM test for VAR(4), and choosing 12 lags for LM test. Does every p value for every lag have to be larger than 0.05? or are we just looking for 4th lag as our VAR m...

I am wondering the same thing!!! can any expert send a reply please ?

Thanks for the advice as I managed to find answers to some of my questions in the forum. However, I would be very grateful if you could help me one more time. I am looking for effects of oil prices on some macroeconomic variables such as industrial production index and inflation. I take the variable...

Thanks a lot for your reply.. can I conclude that if a data is difference-stationary, I can start modelling ? Also because it is hard to get an answer in this forum, I want to ask a irrelevant question: I am trying to run a VECM model. Should I put the variables in levels or first-difference would b...

I am pretty sure that my data has trend. However after detrending, it is still non-stationary. Also, when I take the first difference of my original data(not detrended), it becomes stationary. So should I do both or is my data difference(first degree) stationary ? thanks a lot for replies in advance...

I am a bit confused about ADF test. Do we need to check for serial correlation before implementing the ADF test. And secondly, when I do the ADF test, the durbin-watson stat is approximately 1.86. Is this too low and if it is too low, does this make the adf test unreliable ? Thanks for replies in ad...

I am new to econometrics and I really could not understand why we choose the lag length ? When I change the number of lags before any estimation, the number of observation decrease, why is that ? I didn't get what lag length means.. I have a data with 105 observations and I thought number of lags sh...