Maximise a t value for a given amount of lag

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calciumkid
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Joined: Fri Jul 08, 2016 4:38 am

Maximise a t value for a given amount of lag

Postby calciumkid » Fri Jul 08, 2016 4:41 am

Hi

I have an independent variable and a 2 different lagged dependent variables

How can I find the highest t statistics for the lagged dependent variables ? i.e. what amount of lag is the best for finding the highest t statistic

Thanks !
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