Sir, if we wish to perform ADF test for the first differentiation of a particular variable, do we have to select lag order using, say for example VARselect(diff(GDP)) or can we use the same lag order we used for the level format of the variable [ that is using VARselect(GDP) ]
Good evening sir. how to determine the optimum lag for a database containing several variables? For example one dependent variable and two independent variables
