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Re: st: clarity on varsoc command


From   "Michael Ndlovu" <Michael.Ndlovu@resbank.co.za>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: clarity on varsoc command
Date   Wed, 15 Feb 2012 12:38:13 +0200

I am still awaiting and would appreciate if someone could answer my query.

>>> "Michael Ndlovu" <Michael.Ndlovu@resbank.co.za> 2012-02-15 11:03 >>>
Hi

I am trying to create a time-series model with the optimal lags for each variable. I am using Stata version 12.

My understanding of the "varsoc" command is that it gives you optimal lag choice for a set of variables. So if I have type in the command "varsoc y x z" , I will get the optimal lag choices for a model that looks like: y = cons + b1*ylag + b2* xlag + b3*zlag.

My problem with this though is the assumption of the same lag period for all these variables. How do I get optimal lag choice for each variable such that the optimal amount of lags to y is not necessarily the same as x or z. 

Is it correct for me to isolate each variable and make the other variables exogenous

i.e. varsoc y x, exog(z)
      varsoc y z, exog(x)

I just need clarity on whether I am going about this the right way or whether there is another way of finding what I want.  

Regards
Michael



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--------------------- *** Disclaimer *** ----------
This e-mail and its contents are subject to the SA Reserve Bank's
Disclaimer and Confidentiality Clause, which can be viewed at:
http://www.reservebank.co.za/disclaimer
Should you be unable to access the link provided, please send a
blank e-mail to Disclaimer@resbank.co.za
--------------------------- *** Disclaimer *** -----


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