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st: How to Do Significance Test for Each Group of Lags in Each VAR


From   James Zhang <latent_hydralisk@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: How to Do Significance Test for Each Group of Lags in Each VAR
Date   Sun, 16 May 2010 04:51:21 -0700

Hi,
 
My name is James and I am working as a Research Assistant for my professor in a college in California. My professor asked me to do a VAR test on different stock markets using STATA. And after I got the results (a big table of them since we are choosing for 4 lags based on AIC), professor asked for individual significance indicators for each group of lags in each VAR.
 
Here is part of his request and I quote:
 
"The only thing I'd like you to add is a significance test for each group of lags in each VAR (for cases where the lag order is greater than 1).  The chi-squared statistics at the top of each VAR set test the overall significance of all regressors.  I'd like additional chi-squared statistics for, say, lags 1 through 4 of shanghai, then lags 1 through 4 of hongkong, etc."
 
Would someone be so kind to teach me how to do this? I'd appreciate it very much. Thanks!
 
Sincerely Yours,
 
James 		 	   		  
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