lag length selection in engle granger ECM model

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happylady
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Joined: Thu Jul 23, 2009 2:10 pm

lag length selection in engle granger ECM model

Postby happylady » Sun Feb 24, 2013 6:01 am

hi;

I have to estimate the engle granger 2 step procedure for my model. I already pass the step 1 and found that I have the long-run equilibrium (error term indicated non-stationary). My question is:

I have quarterly data, I know that in general I should include 4 lags.

However, is there any test in eview that I can test to ensure that I use the suitable lag for my second step of engle granger (engle granger ECM model)?

If possible, Could you tell me the option I should use in Eview to obtain this test?


thank you so much

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