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vector autoregression help?

lolliemc · 2012-06-07 18:09:46

I am trying to construct a VAR model using GDP, inflation rates, mortgage rates, long-term interest rates, number of houses completed and housing prices to see what impact the property market has had on the economy. My problem is with Pcgive/oxmetrics. Does it matter which variable I use as the constant? How many lags…

07-06-2012 6:09pm

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lolliemc

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I am trying to construct a VAR model using GDP, inflation rates, mortgage rates, long-term interest rates, number of houses completed and housing prices to see what impact the property market has had on the economy. My problem is with Pcgive/oxmetrics. Does it matter which variable I use as the constant? How many lags should I be using? I have used AIC and it shows 7 lags to have the lowest value. Does this sound feasible? any help is appreciated!!

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#2 14-06-2012 11:09pm

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Walter Enders has a good, applied time series book.

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