You might try -varsoc-
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of ayodya palla
> Sent: Wednesday, October 25, 2006 6:32 PM
> To: [email protected]
> Subject: st: selecting optimal lag for time series model
>
> 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.
>
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