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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 > >>> a list thread here. Thanks!] > >>> > >>> "My colleagues in the social sciences talk a great deal about > >>> methodology. I prefer to call it style." -- Freeman J. Dyson. > >>> > >>> * > >>> * For searches and help try: > >>> * http://www.stata.com/help.cgi?search > >>> * http://www.stata.com/support/statalist/faq > >>> * http://www.ats.ucla.edu/stat/stata/ > >> _________________________________________________________________ > >> Windows Live Messenger: Thanks for 10 great years—enjoy free winks > and > >> emoticons. > >> http://clk.atdmt.com/UKM/go/157562755/direct/01/ > >> * > >> * For searches and help try: > >> * http://www.stata.com/help.cgi?search > >> * http://www.stata.com/support/statalist/faq > >> * http://www.ats.ucla.edu/stat/stata/ > > > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > _________________________________________________________________ > Windows Live Messenger: Happy 10-Year Anniversary—get free winks and emoticons. > http://clk.atdmt.com/UKM/go/157562755/direct/01/ > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: VAR or VEC model***From:*Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>

**st: RE: VAR or VEC model***From:*"Villa Lora, Juan Miguel" <JUANMIGUELV@Contractual.iadb.org>

**RE: st: RE: VAR or VEC model***From:*Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>

**Re: st: RE: VAR or VEC model***From:*Clive Nicholas <clivelists@googlemail.com>

**RE: st: RE: VAR or VEC model***From:*Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>

**Re: RE: st: RE: VAR or VEC model***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

**RE: st: RE: VAR or VEC model***From:*Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>

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