Optimal Lag in TS model

Questions and discussions on Time Series Analysis
Post Reply
istiak
Posts: 29
Joined: Sun Nov 11, 2012 9:03 pm

Optimal Lag in TS model

Unread post by istiak »

Dear Tom
I want to estimate the first attached equation using OLS. How to find the optimal lag order p? How does your answer changes when I include contemporaneous x and z values (in the second equation)? Thank you so much.
K. Istiak
Attachments
problem.pdf
(21.96 KiB) Downloaded 707 times
Top
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Optimal Lag in TS model

Unread post by TomDoan »

If you want to use the same number of lags on all the variables, that's a relatively simple adjustment to Example 2.6.
Top
Post Reply

Return to “Other Time Series Analysis”