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From |
Muhammad Akram <aasim548@hotmail.com> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Mon, 6 Feb 2012 18:33:08 +0500 |

Hi Anees, Thank you for suggesting articles. They are related to my work as well. I was trying to use VAR for panel data but unfortunately couldn't find proper solution to panel var models in Stata. If you have any clue other than I.Love's PVAR. Thanks Aasim ---------------------------------------- > Date: Mon, 6 Feb 2012 09:17:28 +0500 > Subject: Re: st: Solution for Autocorrelation in Lag orders for VAR > From: anees@aneconomist.com > To: statalist@hsphsun2.harvard.edu > > Are you comparing different countries over time? Is this not the case > of panel data? > > Rest the Baums advice is enough to start ahead. Most of the Time > Series studies in the Energy Economics uses sample of 35-40 > observations, so checking for these studies might be helpful in this > regard. A few studies are listed below; > > 1. Halicioglu, F., 2009. An econometric study of CO2 emissions, energy > consumption, income and foreign trade in Turkey, Energy Policy 37, > 1156–1164. > 2. Ghosh, S., 2010. Examining carbon emissions economic growth nexus > for India: a multivariate cointegration approach, Energy Policy, > 38(6), 3008-3014. > 3. Narayan, P.K., Singh, B., 2007. The electricity consumption and GDP > nexus for the Fiji Islands, Energy Economics 29! , 1141–1150. > 4. Oh, W., Lee, K., 2004. Causal relationship between energy > consumption and GDP revisited: the case of Korea 1970–1999, Energy > Economics 26, 51–59. > > Sorry for the studies not specific to your study but for VAR and VECM, > a few of these studies are good enough. > > Best, > > Anees > > On Mon, Feb 6, 2012 at 12:07 AM, Muhammad Akram <aasim548@hotmail.com> wrote: > > Dear, > > > > Thanks again. I have tested the variables for stationary and cointegration. They are stationary at first differance but have unit root at levels. So in my VAR model I am using them in difference. I tried VECM but it fails to include one trend variable (technological growth) which covers affectiveness of labour. If I use 3lags and Var at difference all is fine for other two countries but for one country only LM test fails at 1st lag it works on other two lags. What would you suggest in this case? Any reference which I can use to deal with bit of autocorelation. > > > > > > > > ! Thanks again > > > > aasim > > > > > > > > > > > > ------------------- --------------------- > From: kit.baum@bc.edu > To: statalist@hsphsun2.harvard.edu > Date: Sun, 5 Feb 2012 12:05:21 -0500 > Subject: re:RE: st: Solution for Autocorrelation in Lag orders for VAR > > <> > 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.! > ht! > > ml > An I! ntroduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html > > > * > * 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/ > > * > > * 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/ * * 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/

**Follow-Ups**:**Re: st: Solution for Autocorrelation in Lag orders for VAR***From:*Muhammad Anees <anees@aneconomist.com>

**References**:**re:RE: st: Solution for Autocorrelation in Lag orders for VAR***From:*Christopher Baum <kit.baum@bc.edu>

**RE: st: Solution for Autocorrelation in Lag orders for VAR***From:*Muhammad Akram <aasim548@hotmail.com>

**Re: st: Solution for Autocorrelation in Lag orders for VAR***From:*Muhammad Anees <anees@aneconomist.com>

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