Optimal Lag in panel data

[Amaa Ahmed]

Dear all,
I am using a large panel data and would like to find out the optimal lag, as varcsoc command is for time series analysis, would anyone just help me what would be the command for panel data? Really appreciated.

Amaa

[George Ford]

maybe pvarsoc if you have a lot of years and are doing a var analysis (pvar).

[Amaa Ahmed]

George Ford thank you for your reply. I did the pvarsoc command but unfortunately i obtained an empty table except for CD column. My data is for 4 years on a daily basis.

[George Ford]

too short, I suspect.

I probably wouldn't do more than 1 with such a short T.