Dear Sirs:

 Dear Augustinian, one way  is the Hendry’s General to specific criteria to select the model.  you retain the lagged variables , which ,usually , have the  p value less than or equal to .05 in your model.

How to refine or simplify a VAR model suppressing the insignificant estimated coefs?

 

Waiting for your help, I am

 

Sincerely yours.

 

Agustin Alonso-Rodriguez

Prof. of Econometrics

Real Centro Universitario “Escorial-Maria Cristina”

San Lorenzo de El Escorial(Madrid) Spain

 

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