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Hi!
Im doing a VAR(9) model and I was wondering if it is possible to have different lag length on each variable. And if so, how do I create my VAR-model with different lag.
Example: I have x1, x2, x3, x4, x5, x6, x7, x8, x9.
And I want a VAR model with:
x1=x1t-1+ x2t-1+ x3t-1+ x4t-1+ x5t-1+ x6t-1+ x7t-1+ x8t-1+ x9t-1+ x1t-2+ x2t-2+ x3t-2+ x4t-2 + x1t-3+ x2t-3+ x3t-3+ x4t-3+ x5t-3+ x6t-3+ x1t-4+ x2t-4+ x3t-4+ x4t-4+ x5t-4+ x6t-4+c
x2= x1=x1t-1+ x2t-1+ x3t-1+ x4t-1+ x5t-1+ x6t-1+ x7t-1+ x8t-1+ x9t-1+ x1t-2+ x2t-2+ x3t-2+ x4t-2 + x1t-3+ x2t-3+ x3t-3+ x4t-3+ x5t-3+ x6t-3+ x1t-4+ x2t-4+ x3t-4+ x4t-4+ x5t-4+ x6t-4+c
x3= x1=x1t-1+ x2t-1+ x3t-1+ x4t-1+ x5t-1+ x6t-1+ x7t-1+ x8t-1+ x9t-1+ x1t-2+ x2t-2+ x3t-2+ x4t-2 + x1t-3+ x2t-3+ x3t-3+ x4t-3+ x5t-3+ x6t-3+ x1t-4+ x2t-4+ x3t-4+ x4t-4+ x5t-4+ x6t-4+c
x4= x1=x1t-1+ x2t-1+ x3t-1+ x4t-1+ x5t-1+ x6t-1+ x7t-1+ x8t-1+ x9t-1+ x1t-2+ x2t-2+ x3t-2+ x4t-2 + x1t-3+ x2t-3+ x3t-3+ x4t-3+ x5t-3+ x6t-3+ x1t-4+ x2t-4+ x3t-4+ x4t-4+ x5t-4+ x6t-4+c
and so on.
In practice this is not impossible to do, but I don’t understand how I can do it in eviews.
Thanks for the help!

It is not possible using the built in VAR object. You can, however, use a System object to do it. I would start off by building the VAR (with same lag lengths), then use the Proc->Make System option to build a system object, then manually edit the system to knock off the unwanted lag parts.

The downside is that you won't get to be able to use the built in VAR features (notably impulse responses).

I build the VAR with lagg 4, then i go to Proc-> make System option, but then i get order by variable, order by lag... what shall i do then? how do i manually edit the system to know of the unwanted lag parts?

Choose either.