Hi everyone,

Currently i am working on my thesis and i am stuck with the following question. Is it sensible to include control variables in my VAR model?
Right now i am using a VAR model to estimate the effect of Twitter sentiment on European index returns (E.g. DAX). I use both intraday (30/60min) and daily data to estimate the VAR model. However, i am not sure whether i need to include control variables into my VAR model. I was thinking about controlling for inflation, interest rate or GDP, but i have not found any other studies including these variables. Since i am a student i am only capable of finding daily data for the aforementioned control variable, so maybe it is more sensible to leave them out anyway.

Right now i am interested in estimating two VAR models:
1. Sentiment score on Index Returns
2. Tweet Volume on Index Returns

Is anybody able to help me? A link to an article or something else would also be very welcome.

Kind Regards,

Mark