Hello everyone,

When including the interest rate into my time series model against the exchange rate, I attempt to carry out a Lagrange multiplier test to show whether there exists autocorrelation between the interest rate lags. When I run this for one lag:

var interestrate, lag(1/1)
varlmar

it outputs a table. However when I run the command for 4 lags:

var interestrate, lag(1/4)
varlmar

the output is as follows: "
the lags of residuals may not be collinear with the dependent variables, or their lags
"

Could anyone shed some light on this issue and any potential ways to rectify this problem.

Thanks,

Luke