lag length selection in engle granger ECM model
Posted: Sun Feb 24, 2013 6:01 am
hi;
I have to estimate the engle granger 2 step procedure for my model. I already pass the step 1 and found that I have the long-run equilibrium (error term indicated non-stationary). My question is:
I have quarterly data, I know that in general I should include 4 lags.
However, is there any test in eview that I can test to ensure that I use the suitable lag for my second step of engle granger (engle granger ECM model)?
If possible, Could you tell me the option I should use in Eview to obtain this test?
thank you so much
I have to estimate the engle granger 2 step procedure for my model. I already pass the step 1 and found that I have the long-run equilibrium (error term indicated non-stationary). My question is:
I have quarterly data, I know that in general I should include 4 lags.
However, is there any test in eview that I can test to ensure that I use the suitable lag for my second step of engle granger (engle granger ECM model)?
If possible, Could you tell me the option I should use in Eview to obtain this test?
thank you so much