Illegal lag specification

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shalu
Posts: 3
Joined: Thu Nov 12, 2009 7:09 am

Illegal lag specification

Postby shalu » Tue Jan 05, 2010 11:14 pm

When I run the VAR model in eviews.( i have three variables) liquidity, volatility and return. the SIC crietrion suggests 5 lags but whenever i put any odd number of lags in VAR model it says "illegal lag specification"...
but when i put lag length as 2,4,6 it runs...
can any one suggest what do i do...
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startz
Non-normality and collinearity are NOT problems!
Posts: 3797
Joined: Wed Sep 17, 2008 2:25 pm

Re: Illegal lag specification

Postby startz » Wed Jan 06, 2010 8:03 am

I think you need to specify lags in pairs.
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d.thomas
Posts: 1
Joined: Tue Apr 16, 2013 1:52 pm

Re: Illegal lag specification

Postby d.thomas » Tue Apr 16, 2013 1:54 pm

i.e. "1 1" rather than just "1" should work
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