Lag length
Posted: Tue Mar 10, 2015 5:40 pm
I am new to econometrics and I really could not understand why we choose the lag length ? When I change the number of lags before any estimation, the number of observation decrease, why is that ? I didn't get what lag length means.. I have a data with 105 observations and I thought number of lags should be 105 too. Can someone explain me the concept of "lag length" please ? sorry for this very basic question..