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Re: st: varciance decomposition
From
Robert A Yaffee <[email protected]>
To
[email protected]
Subject
Re: st: varciance decomposition
Date
Sun, 27 Mar 2011 13:19:00 -0400
Max,
Helmut Lutkepohl and Gregory Reinsel have both written excellent
books on multiple time series analysis. You should consult Lutkepohl's
"A New Introduction to Multiple Time Series Analysis", 2005 Springer.
Reinsel's book is "Elements ofMultivariate Time Series Analysis", 2nd
edition, Springer. Reinsel spends more time on the ordering of
variables than Lutekpolhl.
If you want to do a variance decomposition, you can try
varbasic y1 y2 y3, lag(2) fevd
Cheers,
Robert
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: Max Fotbollen <[email protected]>
Date: Sunday, March 27, 2011 10:20 am
Subject: st: varciance decomposition
To: [email protected]
> Hi,
> I need to run variance decomposition analysis. I am running a VAR
> using three variables. I do not find specific guiding in Stata serch.
>
>
> Could anyone please help, if there is way to do the analysis in Stata?
>
>
> Thanks a lot, and special thanks to those who frequently answers to
> the questions in this forum.
>
> Max
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