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Re: st: Engle-Granger-Yoo 3-step procedure (3 step estimator)


From   smerryman@kc.rr.com
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Engle-Granger-Yoo 3-step procedure (3 step estimator)
Date   Wed, 22 Jun 2005 07:20:37 -0500

Can you use an information criterion, such as the Bayesian information 
criterion
or the Hannan and Quinn information criterion to determine optimal lag 
length?
The pre-estimation version of -varsoc- might be useful here.

Scott

----- Original Message -----
From: InnaHaller@web.de
Date: Wednesday, June 22, 2005 6:25 am
Subject: st: Engle-Granger-Yoo 3-step procedure (3 step estimator)

> Dear evereone,
> 
> I have a question to the Engle-Granger-Yoo 3-step procedure. 
> My question is:
> 
> How can I do the step 2 with STATA?
> 
> I would be very grateful for the help.
> 
> Thanks!
> 
> Inna
> 
> 
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