Help with VAR
Posted: Thu May 28, 2009 10:16 am
Hi,
I want to run a VAR with seven different time series using EViews.
Now I wonder:
a. When I test for unit roots, shall I test every time serie by itself or as a group? What shall I look for in the results?
b. How do I deside number of laggs and where shall I use this information later?
c. What shall I look for in the results after using Johansen´s cointegration?
d. How do I take all of the above into account when finally running the VAR?
Thanks in advance
I want to run a VAR with seven different time series using EViews.
Now I wonder:
a. When I test for unit roots, shall I test every time serie by itself or as a group? What shall I look for in the results?
b. How do I deside number of laggs and where shall I use this information later?
c. What shall I look for in the results after using Johansen´s cointegration?
d. How do I take all of the above into account when finally running the VAR?
Thanks in advance