Re: [R] VAR question

I presume that your problem is in quantitative macroeconomics and that your sample size is limited. Are your variables stationary. If not you may need to use a VECM or if there is no cointegration work in first differences. My choice of variables would in the first instance be determined by eco

[R] VAR question

Hi all, I got another VAR question here and really appreciate if somebody would help me out :) I have five time series, say A,B,C,D,E. My objective is to predict the series A using the rest, that is, B, C, D and E. A Vector Autoregression Model should work here. But first of all, I should select