VAR with Exogenous Variables

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

iit_mirabel
Posts: 1
Joined: Wed Jan 03, 2024 11:58 pm

VAR with Exogenous Variables

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

Hi,
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?

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 3 guests