Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: RE: selecting optimal lag for time series model


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: selecting optimal lag for time series model
Date   Mon, 30 Oct 2006 09:33:12 -0600

You might try -varsoc-

Scott


> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of ayodya palla
> Sent: Wednesday, October 25, 2006 6:32 PM
> To: statalist@hsphsun2.harvard.edu
> 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.
> 


*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index