You should read the -help var- and -help vec- in detail. Reading the
stata time series manual has a lot to show you what you need.
On Sun, Aug 7, 2011 at 8:59 PM, Merijn Groenenboom
<m.groenenboom@students.uu.nl> wrote:
> Dear statalisters,
>
> I am writing a research with tests like multivariate cointegration
> test and granger causality test.
> To determine the number of lags, I use Akaike Information Criteria (AIC) test.
> I use first differences for the granger causality, so I expect I
> should use first differences for AIC test as well?
> And similarly I do not use first differences for the multivariate
> cointegration test, so I expect not to use first differences
> for the AIC test here?
>
> Can anybody tell me whether I am right or not?
>
> Thanks in advance!
> *
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Regards
Anees
*
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