Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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

From   Christopher Baum <>
To   "" <>
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 Baum   |   Boston College Economics & DIW Berlin   |
                             An Introduction to Stata Programming  |
  An Introduction to Modern Econometrics Using Stata  |

*   For searches and help try:

© Copyright 1996–2016 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index