Dear allstat listers.
I am doing some regression models where the variable LIQ (liquidity of
a bond) is explained by some set of explanatory variables including
one called SAP.
By means of our established hypothesis it is possible to have a model
where LIQ is explained by its lags (1 to 4 weeks, since the model is a
time series model) as well as for the lags of the variable SAP.
My question to the list is: are there any theoretical inconsistencies
by doing a regression model with explanatory variables in the form of
lags from dependent and one explanatory variable?
All the best.
--
Rodrigo Briceņo
Economist
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