VAR with Exogenous Variables

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VAR with Exogenous Variables

Postby iit_mirabel » Mon Feb 05, 2024 1:22 am

I'm creating a VAR model that has 3 endogenous variables- turnover, market return and individual return, and an exogenous variable, volatility. I would like to find the lag for the exogenous variable which according to the literature is not the same as the endogenous variables. How do I go about finding the lag structure for my exogenous variable?

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