I want to model a relationship between a good's price and a few variables using time-series data. I run VEC/VAR models and get a series of equations.
My question is how to use these results (using eViews). I can take the equation I am interested in (where the good's price is dependent) and then run through least square estimation - what happens if the coefficients are insignificant? Proceed with a backward selection?
Thanks for comments