Determining the optimal number of lags for a vecm model.

[Travis Chang]

Hi everyone,

I would like to know if I'm doing a time-series analysis using the vecm model, do I need to do Optimal number of lags twice?

Here's the VECM model steps that I have performed:
1.ADF test (my variables are stationary at first difference)
2.Optimal number of lags (varsoc command in stata)

 varsoc x y z

3.Johansen test for cointegration (I have cointegrating equation)
4.VECM estimation results

Due to the result of the vecm model is differential (D_x, D_y, D_z) . Do I need to add another Optimal number of lags before step 4 to determine the optimal number of lags of the vecm model?

 varsoc d.x d.y d.z

Thanks in advance!

[Joro Kolev]

If you have determined that the variables are nonstationary, and you are going to use them in first differences, you need to use the -varsoc_ on the differenced variables, your last command.