Hi everyone,

Someone, kindly clarify the below for me.

1). Should one check for optimal lag per variable or all of the variable combined? example: varsoc ln_inc or example: varsoc ln_inc ln_inv ln_consump

2). Combine lag selection (example: varsoc ln_inc ln_inv ln_consump) gives equal lags for all of the variable while individual lag selection may give equal or different lag for variables. Is this a problem? Which one is best.

3). What is the maxlag() value to specify when check for optimal lag for daily, weekly, monthly, quarterly, and yearly

4). Should one check for serial correlation and heteroskedasticity before optimal lag specification or after running the regression. Which one is more appropriate? My understanding is that in presence of heteroskedasticity and serial correlation, there could be problem with optimal lag selection.

Thanks