VEC and lag lenth
Posted: Tue Jun 11, 2013 3:17 am
Hi everyone,
I am testing for cointegration with Johansen. I don't know the correct test specification (trend and intecept in CE or not), so I would like to compare across several models and select the appropriate one based on IC. However, I also don't know the appropriate lag specification (although there might be some eceonomic jusification for 1 3). I wrote some code that records AIC and SBIC for different test specifications as well as different lags. Here are my questions:
1. Are the IC comparable?
2. Can I difference the series and estimate the appropriate lag length from a VAR to be used in VEC?
Any help is greatly appreciated
Regards
I am testing for cointegration with Johansen. I don't know the correct test specification (trend and intecept in CE or not), so I would like to compare across several models and select the appropriate one based on IC. However, I also don't know the appropriate lag specification (although there might be some eceonomic jusification for 1 3). I wrote some code that records AIC and SBIC for different test specifications as well as different lags. Here are my questions:
1. Are the IC comparable?
2. Can I difference the series and estimate the appropriate lag length from a VAR to be used in VEC?
Any help is greatly appreciated
Regards