I do have a dataset with monthly data. I apply
serial.test(VAR,lags.pt=12, lags.bg=12, type="both")
vars package to test for serial correlation in the residuals.
Considering that the data is a monthly time series, with a total of 72 observations (06/2006 - 06/20012), is using a maximum lag of 12 appropriate? Some literature states that the lag length should reflect the seasonality of data.
VARselect(VAR,lag.max = 12,type="both")
proposes 1 or 4. I subsequently look with above mentioned
serial.test for the best fit and wonder which lag to use here.
I assume that I should select the same lag length for the test for serial correlation, as for the
VARselect model fit itself, in order to relate my analysis of serial correlation to the same type of data?