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


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re:RE: st: Solution for Autocorrelation in Lag orders for VAR
Date   Sun, 5 Feb 2012 12:05:21 -0500

<>
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. 

In Stata (not STATA!) this evidence from the eigensystem suggests that some of your variables fail to satisfy the requirements for dynamic stability of the VAR, possibly because they are unit root (I(1)) processes. It is difficult to test them for stationarity given only 30 obs. but if other research using these variables has focused on their differences rather than their levels, I would heed it.

Kit


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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