Thanks a lot, Henrique and Allin

Indeed, my sample has both problems, is very small (41 annual observations) and also has variability. I have reduced the variability taking logarithms. But the size of the sample can not be increased.... unless the time runs.

Therefore, as you say, I take my inference very very cautiously...

But, If possible I would appreciate your opinion on two questions:

1) Even with all the precautions, in a case like this, it would be better to choose the model based on the criteria obtained in the model estimation window, rather than in the selection criteria model window that as you say restrict the var?

2) Could you recommend any chance to improve the inference with a sample like this, because I do not know if the Bootstrap technique can be applied in this context var?

Some reference will be appreciate...

Thanks a lot and sorry for any inconvenience.

José F. Perles
University of Alicante (Spain).