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RE: st: Solution for Autocorrelation in Lag orders for VAR


From   Muhammad Akram <aasim548@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Solution for Autocorrelation in Lag orders for VAR
Date   Sun, 5 Feb 2012 20:54:50 +0500

Dear Anees,

I have tried different lag lengths. The problem with my data set is it has only 30 time values... 1981-2010 (yearly data). Higher number of lags gives no results. I have to stick to this lag length. If I use pre-estimation varsoc command I get no FPE value after lag 3 even if I say maxlag(8) but AIC, LR suggest 8 lengths. If I use 4 lags and try to run varlmar it comes up with the error message

 

the exogenous variables may not be collinear with the dependent variables, or their lags

 

Also it gives problem for eigen values table and graph with few values outside eigen circle.So I have to stick to this lag length. Do you have any idea to solve this issue in STATA. 

 

Thanks

aasim 

   

 

---------------------------------------- > Date: Sun, 5 Feb 2012 20:40:10 +0500 > Subject: Re: st: Solution for Autocorrelation in Lag orders for VAR > From: anees@aneconomist.com > To: statalist@hsphsun2.harvard.edu > > Have you tried this for different lag length? > You can add more lags if enough time series is available to get rid of > this problem. The earlier suggested book by Lutkpohl provides details > on this and other related issues. > > On Sun, Feb 5, 2012 at 8:17 PM, Muhammad Akram <aasim548@hotmail.com> wrote: > > Hi all, > > > > I want to know if any one can guide me to get rid of autocorrelationin lags in Var model. > > > > > > > > I have following results in my model > > > > > > > > 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 > > > > > > Probability of 1st lag indicates autocorrelation. How to solve this problem > > > > > > > > Thanks > > > > Aasim > > > > > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > -- > > Best > --------------------------- > Muhammad Anees > Assistant Professor/Programme Coordinator > COMSATS Institute of Information Technology > Attock 43600, Pakistan > http://www.aneconomist.com > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ 		 	   		  
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*   For searches and help try:
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