Lag Selection
Posted: Sat Jan 11, 2020 3:21 pm
Dear E Views Forum Members,
I am currently trying to test whether treasury yields to see if they are a martingale/random walk series, as a precursor leading up to my error correction model.
Say i've taken quarterly averages of monthly data (wanted to test at shorter intervals), and i am testing for ARCH.
How many lags would you suggest I use?
Thanks in advance for any help.
PS: Feel free to drop me a message if you have some experience with ECM's and treasury yields.
I am currently trying to test whether treasury yields to see if they are a martingale/random walk series, as a precursor leading up to my error correction model.
Say i've taken quarterly averages of monthly data (wanted to test at shorter intervals), and i am testing for ARCH.
How many lags would you suggest I use?
Thanks in advance for any help.
PS: Feel free to drop me a message if you have some experience with ECM's and treasury yields.