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- Sun Oct 21, 2012 5:00 pm
- Forum: Econometric Discussions
- Topic: VAR system produces no W.N correlogram for all lag order
- Replies: 0
- Views: 1247
VAR system produces no W.N correlogram for all lag order
Hi there, I am buiding a VAR system. I try two models: one with dummies and one without dummies. The lag length criteria suggests some different lag orders for each model. However, when I test the lag order from smallest to the highest, both models do not produce white noise correlograms for all lag...