EViews.com

Hi, I am estimating VARs or VECMs depending on whether my variables are cointegrated or not. In connection with this, I was wondering how many variables I should include in a VAR/VECM model? For instance, I have found that four macroeconomic variables are correlated with stock market capitalization,...

Hi, I have used the method of I) estimating a VAR, II)View > lag structure > lag length criteria. The lag selection indicates that I should use 8 lags. However, I am estimating my model on annual data, so 8 lags seems quite high, no? The variables in my model are Market Capitalization and GNI. Furth...