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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

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  • $\begingroup$ Is the question about interpretation or about model selection (what to do if some coefficients are insignificant)? These are two different things. $\endgroup$ – Richard Hardy Nov 25 '18 at 10:59
  • $\begingroup$ good point, I will edit it. My question is about how do I estimate the final model. (the relationship) $\endgroup$ – JanVo Nov 25 '18 at 11:14

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