HOW TO SELECT AN OPTIMAL LAG EVIEWS

[@JohnElphata]

Thank You!!! Simple and easy to understand as always

[@suchitrakulkarni4559]

Your videos are very helpful. Thank you.

[@dr.shobhak6764]

Thanks for your response

[@interestingfun4303]

Thank you mam

[@cssunita3463]

madam my data shows 8 lags as optimum. there is no co-integration at 8 lags using the Johansen cointegration test. shall I go forward with VAR

[@dr.shobhak6764]

Carry on

[@amritasengupta4260]

Ma'am I got lag 0 as the optimal lag. So in this case is time series analysis possible at all? I have Exchange Rate as the dependent variable and Trade Deficit, Forex as the independent variable.

[@dr.shobhak6764]

If the lag is zero then there is no contribution of the past value... exogenous variable. Try regression

[@buyahan52]

Ma'am, If the optimal lag is 1 in FPE AIC SC and HQ, but 6 in LR , so I have taken lag as 1 by majority, So I should changr all the variables by 1 lag in my multiple regression? Which variables should be lagged?

[@dr.shobhak6764]

Why should you take lag for multiple regression?

[@suchitrakulkarni4559]

Ma'am , have you taken the 1 st, difference and then proceeded with optimal lag selection?

[@dr.shobhak6764]

Thank you for your response. In the video I haven't taken the first difference but directly I chose the optimal lag for the logged variables. In the case of VAR model convert the variables into first difference later take the optimal lag. For VECM model you can directly take optimal lag since the model will convert the data to first difference. Hope I have made my explanation clear. If any queries do post it.

[@suchitrakulkarni4559]

@@dr.shobhak6764 thank you for your response ma'am!! Ma'am, my research paper is on "the cost channel of monetary policy transmission in India". And, to do so, various literatures have used SVAR method. The problem were I m facing now is - how do I decide on the restrictions that they impose on the matrix? Can you, suggest some book/source where I can understand this? If you make a video on SVAR, it will be very helpful! The variables I have taken is repo rates, WPI as a proxy for price level and IIP as a proxy for output. So, cost channel advocates that when there is a monetary contraction, the working capital of the firms increase and therefore their borrowing cost. A monetary contraction would increase the price level in the short run. On the contrary, interest rate channel advocates that a monetary contraction would decrease the price level in the economy. Also, is there a book, which has step by step tutorials as to how to go about using eviews? Thank you for the response!!! Means a lot.

[@dr.shobhak6764]

@@suchitrakulkarni4559 you have posted three questions. Regarding your research work..my guide Prof. Ambiga Devi for her candidate had dealt with these variables but not sure about the topic. You can view in Shodhganga. Regarding the book for eviews just check the eviews website you will get the required answers as to how to deal with. You have asked me to do a video on it..I will try my level best to post the video. But not on time due to other commitments. Please feel free to ask questions. Within my capacity I will surely help you.

[@suchitrakulkarni4559]

Thanks a lot ma'am!

[@suchitrakulkarni4559]

@@dr.shobhak6764 I found a paper on shodhganga. 😃Thank you for suggesting.