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Optimal Lag in TS model

Posted: Sun Jun 23, 2013 3:15 pm
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

Re: Optimal Lag in TS model

Posted: Sun Jun 23, 2013 9:22 pm
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.