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- Tue Jun 19, 2012 2:14 am
- Forum: Econometric Discussions
- Topic: Lag selection in dynamic models with stepls
- Replies: 1
- Views: 2499
Lag selection in dynamic models with stepls
Hi all, I have a question about the stepls function. I'm using the unidirectional backward version to select the dynamic terms in an ARDL model with a 5% p-value stopping criterion. In some cases, I find that the procedure includes regressors that are not actually significant at the 5% level even th...