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- Mon Apr 29, 2013 9:07 am
- Forum: Econometric Discussions
- Topic: Lag length VAR/VECM; Causality testing procedures
- Replies: 0
- Views: 2149
Lag length VAR/VECM; Causality testing procedures
Dear pro-users, I'm investigating daily data on commodity price series (5-day week, N=3,000, all I(1)). I use logarithmic levels and logarithmic first differences (viz. returns). I could need some clarity with respect to the given approach. I really appreciate any commnent! 1. Use log level series i...