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st: Getting Separate Chi2 Index for Each 4 Lags in VAR Model


From   James Zhang <latent_hydralisk@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Getting Separate Chi2 Index for Each 4 Lags in VAR Model
Date   Fri, 3 Sep 2010 13:32:13 -0700

Hi,
Greetings everyone. I am new here and would greatly appreciate it if someone could help me with this problem.
I am trying to use VAR model to test for 4 markets: Shanghai, HSI, Taiwan SE and S&P 500, with 4 different lags: 1-4. And I am stuck with the Chi2 index. This is what I have right now:
tsset _0qui var shashr hsi twse_index s_p_500,lag(1/4)forv i=1/4 {testparm (L`i'.shashr L`i'.hsi L`i'.twse_index L`i'.s_p_500)}
But it does not yield what I want. Each regression should have four chi-squared statistics, i.e., one for the lags on shashr, one for the lags on hsi, one for the lags on twse, and one for the lags on the US index.  That is, it is like an F-test for the lags on each variable in each regression.  Thus, each VAR with multiple lags selected will yield a total of 16 chi-squared statistics (given four dependent variables times four sets of lags in each regression). 
Please help! Thank you!
Sincerely Yours,
James

 		 	   		  
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