I modelling two time series of daily data. One is sign-ups and the other terminations of subscriptions. I'd like to predict the latter using the information contained in both variables with a VAR model using the vars package in R.
Since I'm modelling subscriptions I know that terminations are correlated with multiples of the sign-ups the months before. That is, a spike in sign-ups on May 10th, will lead to an increase in terminations in June 10th, July 10th and August 10th and so on, although the effect wears off.
My question is, can I cherry-pick which lags to use in the model somehow? Specifying
library(vars)
fit <- VAR(data, p=30)
gives you all the lags.
