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

 From Robert A Yaffee To statalist@hsphsun2.harvard.edu Subject Re: st: How to Do Significance Test for Each Group of Lags in Each VAR Date Mon, 17 May 2010 13:28:38 -0400

```James,
You can do a step down test with the BIC for the VAR.   Whichever lag length yields the lowest BIC is probably the one to use.
- 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: James Zhang <latent_hydralisk@hotmail.com>
Date: Sunday, May 16, 2010 7:53 am
Subject: st: How to Do Significance Test for Each Group of Lags in Each VAR
To: statalist@hsphsun2.harvard.edu

> 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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```