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st: selecting optimal lag for time series model


From   "ayodya palla" <elmu_na@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: selecting optimal lag for time series model
Date   Thu, 26 Oct 2006 10:01:45 +1030

Dear all,

I'm a new user of STATA. Currently i'm working with the time series
model and i'm going to use the STATA program. For the sake of
simplicity, the model can be written as follows,

Y= Yt-1 + ...... + Yt-p + Xt-0 + .....+ Xt-p + u


where p indicating the optimal lag length of related variables based
on AIC and SBC criterion.

I would like to know the STATA command/procedure to select the optimal
lag length for each variables.
Thank you very much, any comment and respond is appreciated.


Ayodya P

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