How to select LAGS when using LWINDOW?
Posted: Thu Feb 18, 2016 6:38 am
Should I just use @REGCORRS and judge from that? Thank you.
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.