Search found 2 matches

by Marqito
Mon Dec 10, 2012 1:37 am
Forum: Estimation
Topic: Different lag lengths in a VAR model
Replies: 3
Views: 3480

Re: Different lag lengths in a VAR model

I build the VAR with lagg 4, then i go to Proc-> make System option, but then i get order by variable, order by lag... what shall i do then? how do i manually edit the system to know of the unwanted lag parts?
by Marqito
Fri Dec 07, 2012 12:40 pm
Forum: Estimation
Topic: Different lag lengths in a VAR model
Replies: 3
Views: 3480

Different lag lengths in a VAR model

Hi! Im doing a VAR(9) model and I was wondering if it is possible to have different lag length on each variable. And if so, how do I create my VAR-model with different lag. Example: I have x1, x2, x3, x4, x5, x6, x7, x8, x9. And I want a VAR model with: x1=x1t-1+ x2t-1+ x3t-1+ x4t-1+ x5t-1+ x6t-1+ x...

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