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Re: RE: st: RE: VAR or VEC model


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: RE: st: RE: VAR or VEC model
Date   Tue, 25 Aug 2009 11:56:07 -0400

Ihtesham,
   Use the proper number of lags( ) and the max option to obtain
the maximum eigenvalue test.   The trace test works just fine however,
although the hypothesis structure differs a little.

    Cheers,
           Bob


Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>
Date: Tuesday, August 25, 2009 10:33 am
Subject: RE: st: RE: VAR or VEC model
To: statalist@hsphsun2.harvard.edu


> Thanks Bob.
> I will run the -vecrank- command to obtain the number of cointegrating 
> vectors. And I have done a but more reading on the Trace and Max 
> Eigenvalue statistics. I know you get the Trace statistic from the 
> -vecrank- command, from where do I get the Max Eigenvalue statistic?
> How then will I obtain the Johansen Cointegrating Coefficients? Are 
> they the ones I get when I run the -vec- command?
>  
> Kind Regards
> Ihtesham
> ----------------------------------------
> > From: bob.yaffee@nyu.edu
> > To: statalist@hsphsun2.harvard.edu
> > Date: Tue, 25 Aug 2009 09:55:22 -0400
> > Subject: Re: RE: st: RE: VAR or VEC model
> >
> > Ihtesham,
> > Read the literature on the Johansen trace and maximum eigenvalue
> > tests for vector cointegration. You may wish to run the
> >
> > vectstable, graph
> >
> > command to ascertain whether your long-run matrix is of full rank.
> >
> > Then you want to run the
> >
> > vecrank
> >
> > command to apply the Johansen tests
> > for cointegrated vectors.
> >
> > I hope this is of help.
> > Cheers,
> > Bob
> >
> >
> > Robert A. Yaffee, Ph.D.
> > Research Professor
> > Silver School of Social Work
> > New York University
> >
> > Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
> >
> > CV: http://homepages.nyu.edu/~ray1/vita.pdf
> >
> > ----- Original Message -----
> > From: Ihtesham Afzal 
> > Date: Tuesday, August 25, 2009 4:01 am
> > Subject: RE: st: RE: VAR or VEC model
> > To: statalist@hsphsun2.harvard.edu
> >
> >
> >> Thanks you for your reply.
> >> But how then do I test for cointegration between the variables in the
> >> model? I was made to believe that the only way of finding
> >> cointegrating verctors was by doing the -vecrank- and -vec- commands.
> >>
> >> So do I use the var model and then -vargranger -to test for granger 
> causality
> >> and then -vec- and -vecrank- commands to test for cointegration?
> >> Kind Regards
> >> Ihtesham
> >>
> >> ----------------------------------------
> >>> Date: Tue, 25 Aug 2009 00:51:48 +0100
> >>> Subject: Re: st: RE: VAR or VEC model
> >>> From: clivelists@googlemail.com
> >>> To: statalist@hsphsun2.harvard.edu
> >>>
> >>> Ihtesham Afzal wrote:
> >>>
> >>>> Thank you for your reply.
> >>>> All of the variables are integrated of the same order (i.e I(1))
> >>>> How do I run the granger causality test? Do I run the regression 
> of
> >> one variable on the other with appropriate lags and then do an f-test
> >> to test whether these lags of the indepndent variable are equal to
> >> zero? And what command tdo I use to see what lag length to use -> I
> >> used -varsoc- is that right?
> >>>> And then do this separately for all variables?
> >>>
> >>> -help vargranger-
> >>>
> >>> --
> >>> Clive Nicholas
> >>>
> >>> [Please DO NOT mail me personally here, but at
> >>> . Please respond to contributions I make in
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> >>> methodology. I prefer to call it style." -- Freeman J. Dyson.
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