Hi all,
I got another VAR question here and really appreciate if somebody would help me out :)
I have five time series, say A,B,C,D,E. My objective is to predict the series A using the rest, that is, B, C, D and E. A Vector Autoregression Model should work here. But first of all, I should select which series of B, C, D and E to be include in the VAR model, as well as the number of lags. I wonder If someone would give some advice on such a series selection procedure. Thanks so much.

Sincerely,
Yanwei Zhang
Department of Actuarial Research and Modeling
Munich Re America
Tel: 609-275-2176
Email: yzhang@munichreamerica.com<mailto:yzhang@munichreamerica.com>


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