Lag length selection in the ECM

[challenges]

Dear all,

I have an asymmetric ECM of the following form: Δyt = ß0+ ß1∑yt-i + ß2 ∑xt-j + μ1ECT_PLUSt-1 + μ2ECT_MINUSt-1 + ut.
I need to select the aproapriate lag length (i and j) allowing for a maximum number of lags of 4. Could you please tell me whether there is a src file that I could use in determining the lag length of my ECM?
Thank you in advance for any suggestion.

[TomDoan]

Not for that, but you would want to do a nested loop over the two lag lengths. The closest thing to this would be in the BJAUTOFIT. That may be overkill since it puts everything into a report, but you could use the same general set up and just use a DISPLAY instruction to show the two lag lengths and the desired IC.