Since the number of lags to be introduced in a VAR model can be a subjective question,

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Since the number of lags to be introduced in a VAR model can be a subjective question, how does one decide how many lags to introduce in a concrete application?

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Basic Econometrics

ISBN: 978-0073375779

5th edition

Authors: Damodar N. Gujrati, Dawn C. Porter

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Question Posted: May 29, 2018 04:08 AM

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Since the number of lags to be introduced in a VAR model can be a subjective question,

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We want lags long enough to fully capture the dynamics of the system being modeled On the ...View the full answer

Basic Econometrics

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