How to select LAGS when using LWINDOW?

Questions and discussions on Time Series Analysis
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alexecon
Posts: 72
Joined: Fri Oct 30, 2015 12:16 pm

How to select LAGS when using LWINDOW?

Unread post by alexecon »

Should I just use @REGCORRS and judge from that? Thank you.
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IRJ
Posts: 48
Joined: Wed Jan 10, 2007 1:15 am

Re: How to select LAGS when using LWINDOW?

Unread post by IRJ »

There is a sizeable literature on this and many different methods of selecting lag length. See https://estima.com/forum/viewtopic.php? ... west#p9575

You can also run a search on the forum.
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