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st: complex VAR for preselection of instruments

From   "Sebastian Kruk" <>
Subject   st: complex VAR for preselection of instruments
Date   Thu, 18 Dec 2008 20:20:20 -0200

 I would like to do a preselection of possible instruments within a
VAR. The two endogenous variables variables π(t+1) and s(t) are
regressed on all potential instruments. This specification can be
formalized as:


with v1,v2 a a deterministic term, and x(t−j) the vector of all other
predetermined variables with lag j. The maximal lag length is L1 = 10
and L2 = 5.

Can I apply a model reduction procedure that works through a
sequential elimination of regressors in order to obtain a model that
to the smallest value of the particular information criterion as
Lutkepohl, H. (2005). New introduction to multiple time series
analysis, Springer?

Thanks in advance,

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