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When building a Vector Autoregression model is there some theory that would guide me in chosing the number of variable to include? For example, I have about 3000 data points and I would like to get an idea of how many lags of explanatory variables to ues.

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hi, i think you should post this at stats.stackexchange.com - this may rather be the right place for such a question! –  Seb Jan 18 '12 at 8:32
    
Do you know how to do Bayesian VAR? –  EnergyNumbers Jan 18 '12 at 11:16
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migrated to stats.stackexchange.com by Turukawa May 4 '12 at 4:36

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