Hello,
I am Salvatore and I am working with panel data for estimating the behavior of NPLs for Italian banks (117 cross-sectional units representing the banks and 6 variables). Based on the economic theory I would like to analyze for the purpose of my thesis, it would be better to include some lags in the independent variables within my models. I made some research and found out that there exists the command "varsoc" which, I believed, is designed to work with time series data and analysis.
can anyone please help me by suggesting any command I can use to select the right number of lags for my model?
The varsoc command shows SBIC, AIC, HQIC which can be used to identify the optimal lag selection.
Thanks a lot.
I am Salvatore and I am working with panel data for estimating the behavior of NPLs for Italian banks (117 cross-sectional units representing the banks and 6 variables). Based on the economic theory I would like to analyze for the purpose of my thesis, it would be better to include some lags in the independent variables within my models. I made some research and found out that there exists the command "varsoc" which, I believed, is designed to work with time series data and analysis.
can anyone please help me by suggesting any command I can use to select the right number of lags for my model?
The varsoc command shows SBIC, AIC, HQIC which can be used to identify the optimal lag selection.
Thanks a lot.
