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- Sun Apr 08, 2012 5:23 pm
- Forum: Econometric Discussions
- Topic: lag length in time series analysis
- Replies: 0
- Views: 1470
lag length in time series analysis
hello hope u can help. I am operating with daily data. How many lags should I consider for a unit root test? Autocorrelation (based on ACF and PCF) is significant for Lag 1,2 and also lag 15..should I inclulde lag 15? in daily data?? And also for my AR model - should I include lag 1,2 and 15? or onl...