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st: Hannan-Quinn Criterion for nonstationary series


From   "Sean MC allister" <sean_mcallister22@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Hannan-Quinn Criterion for nonstationary series
Date   Tue, 08 Feb 2005 10:35:09 +0000

Hi
I'm performing a convergence test on panel data based on the unit root test of Levin and Lin. I face the problem of selecting, for each country, the lag's length which eliminates residual autocorrelation. I wanted to use the Hannan-Quinn's criterion but the only command I found to get it is "varsoc" which is used for VAR. I worry because my sample is very small (T=11 and N=15). Is there a command that give this criterion for short nonstationary time series?
I hope you could help me and I thank you in advance for your answer.
Yours sincerely,
Sean

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