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- Thu Jul 18, 2013 3:46 am
- Forum: Econometric Discussions
- Topic: optimal lag length in VAR and Johansen test
- Replies: 0
- Views: 2412
optimal lag length in VAR and Johansen test
Hi everyone, I have got some problems in my cointegration test. I am testing the market efficiency in futures market. I select the data spot prices and futures prices in datastream. The data and my eviews files are in the attachment. When I estimate the VAR, in the lag criteria, the optimal lag leng...