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Re: st: clarity on varsoc command


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: clarity on varsoc command
Date   Wed, 15 Feb 2012 18:02:38 +0500

One question, what is the need for selecting optimal lags for
individual variables? I assume these individual lags will do the same
what combined lags do, while apparently these are the same. So
selecting the optimal lag length for a combination of variables will
be sufficed. One option to your specific conditioning for lags might
be the ARDL, which unluckily, Stata has no such listed command. You
can fit ARDL using Microfit.

On Wed, Feb 15, 2012 at 2:03 PM, Michael Ndlovu
<Michael.Ndlovu@resbank.co.za> wrote:
> 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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-- 

Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com

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