parsimonious model

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bashkam
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Joined: Mon Mar 18, 2013 3:00 am

parsimonious model

Postby bashkam » Mon Sep 02, 2013 3:43 am

I have estimated a VECM that has 6 variables; 4 lags turned out to be the optimum number; as such I ended up with a huge model and I am restricted by limited number of observations (about 50). How can I get a good parsimonious model out of of my long model?
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