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Re: st: FW: VAR lag selection and lags autocorrelation


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: FW: VAR lag selection and lags autocorrelation
Date   Thu, 2 Feb 2012 22:54:47 +0500

The references give detailed information about many of your questions.
These are also available from the -help varsoc-. More technical
details are available from the Stata Time Series Reference.

1. Lütkepohl, H. 2005.  New Introduction to Multiple Time Series
Analysis.  New York: Springer.
2. Nielsen, B. 2001. Order determination in general vector
autoregressions.  Working paper, Department of Economic, University of
Oxford and Nuffield, College.
http://ideas.repec.org/p/nuf/econwp/0110.html.


On Thu, Feb 2, 2012 at 10:17 PM, Muhammad Akram <aasim548@hotmail.com> wrote:
> Dear Statlist et al,
>
> I have few questions about lag order selection for var (vector autoregressive). I have preestimation varsoc with max lag 8 option. I got the following results
>
> varsoc Dependant IND1 IND2 IND3, maxlag(8)
>   Selection-order criteria
>   Sample:  1989 - 2009                         Number of obs      =        21
>  +---------------------------------------------------------------------------+
>  |lag |    LL      LR      df    p      FPE       AIC      HQIC      SBIC    |
>  |----+----------------------------------------------------------------------|
>  |  0 | -198.518                      2796.63   19.2874   19.3306   19.4863  |
>  |  1 | -144.204  108.63   16  0.000  75.5051   15.6384   15.8543   16.6332  |
>  |  2 | -110.247  67.914   16  0.000  16.6656   13.9283   14.3169   15.7189  |
>  |  3 | -93.6263  33.241   16  0.007  28.5872   13.8692   14.4305   16.4556  |
>  |  4 | -28.3657  130.52   16  0.000  1.4264*  9.17768   9.91172   12.5599  |
>  |  5 |  2275.82  4608.4   16  0.000        .  -208.745  -207.838  -204.567  |
>  |  6 |  2451.92  352.19   16  0.000        .  -225.516  -224.609  -221.338  |
>  |  7 |  2555.54  207.25   16  0.000        .  -235.385  -234.478  -231.207  |
>  |  8 |  2571.33  31.577*  16  0.011        .  -236.889* -235.982* -232.711* |
>  +---------------------------------------------------------------------------+
>
> This result suggests 8 lags. but my data has only 29 observations for time means T<30. If I use more than 4lags it gives no t or p values in estimations. Moreover, with more than 3lags varstable test doesn't satisfies.
>
> Another question is about LM-test for autocorrelation.
>
> varlmar, mlag(3)
>   Lagrange-multiplier test
>  +--------------------------------------+
>  | lag  |      chi2    df   Prob > chi2 |
>  |------+-------------------------------|
>  |   1  |   26.8331    16     0.04338   |
>  |   2  |   12.3209    16     0.72161   |
>  |   3  |   14.3204    16     0.57486   |
>  +--------------------------------------+
>   H0: no autocorrelation at lag order
> If there is autocorrelation at any of the lags what can be used as a solution in var model. Remember my data is non-stationary at level so I am using var at first difference for all variables. But for lag order selection I am using variables at level.
>
> I would be greatly thankful for supportive replies.
>
> Thanks
> aasim
>
>
>
>
>
>
>
> *
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-- 

Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com

*
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*   http://www.ats.ucla.edu/stat/stata/


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