Hi, Dear All,
I have a simple question regarding the choice of exogenous variables in the PVAR model:
When specifying a PVAR model, what types of control variables can be included in exog()? Is it correct to include variables that determine y1 and y2, rather than those that are outcomes of y1 and y2?
Any guidance on appropriate exog() variable selection for PVAR models would be helpful. Thank you.
I have a simple question regarding the choice of exogenous variables in the PVAR model:
When specifying a PVAR model, what types of control variables can be included in exog()? Is it correct to include variables that determine y1 and y2, rather than those that are outcomes of y1 and y2?
Any guidance on appropriate exog() variable selection for PVAR models would be helpful. Thank you.
