Hi everyone,

I am writing as I am currently working on my bachelor's thesis with Stata.
I am doing a time series analysis.
I have found that 4 is the optimal number of lags, I have one cointegrating equation, and the variables are stationary at first difference.
However, my professor pointed out that, because I am estimating a VAR of dimension 5 with 4 lags, the estimated parameters are far more than the observations.
The problem is that I do not really know what to do. Because of my research topic, I cannot really change my data.
Therefore, what do you recommend me to do? To perform an additional test? To simply state this issue in the limitations of the thesis?

Thank you in advance for the help (I'm still a beginner in Stata)!