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Re: st: unconventional lag length in VAR model?


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: unconventional lag length in VAR model?
Date   Mon, 4 Mar 2013 13:30:10 -0500

Jason,
   The varsoc, varlmar, and varwle  are generally used for this purpose.
     Bob  Yaffee


On Fri, Mar 1, 2013 at 1:48 PM, Jason R Franken <JR-Franken@wiu.edu> wrote:
> I want to determine the appropriate lag structure for a VAR of 3 price series - C, F1, and E. A prior study used these variables and determined the structure using Akaiki's Final Prediction Error (FPE), which can be obtained with the  below commands.
>
> My problem is that the prior study was able to ascertain how the lag length differed for each variable and in each equation (that is 4 lags of each variable in each equation might not be appropriate), and I'm not sure how to investigate this with the below commands. Specifically, the prior study finds (for a shorter time period) that the F1 equation has lag 1 of F1 and lags 1 and 2 of C; the E equation has only lags 1 through 4 of C; and the C equation has only lag1 of F1.
>
> Can I examine this by estimating a VAR with commands for seemingly unrelated regression (reg3, sur; suest; sureg)?
>
> Thanks in advance,
> Jason Franken
>
> RESULTS:
> .  var C F1 E, lags(1/4)
>
> Vector autoregression
>
> Sample:  1976q1   2010q3                           No. of obs      =       139
> Log likelihood =  -1096.43                         AIC             =  16.33712
> FPE            =  2502.717                         HQIC            =   16.6717
> Det(Sigma_ml)  =  1425.583                         SBIC            =  17.16046
>
> Equation           Parms      RMSE     R-sq      chi2     P>chi2
> ----------------------------------------------------------------
> C                    13     5.20584   0.5664   181.5755   0.0000
> F1                   13     4.50839   0.6138   220.9116   0.0000
> E                    13     3.64389   0.7331   381.8178   0.0000
> ----------------------------------------------------------------
> ------------------------------------------------------------------------------
>              |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> C            |
>            C |
>          L1. |   .8522103   .1119234     7.61   0.000     .6328444    1.071576
>          L2. |  -.2105517   .1371686    -1.53   0.125    -.4793972    .0582938
>          L3. |   .4614619   .1400664     3.29   0.001     .1869368     .735987
>          L4. |  -.0850031   .1404678    -0.61   0.545     -.360315    .1903088
>           F1 |
>          L1. |   .1405764    .136883     1.03   0.304    -.1277093    .4088621
>          L2. |  -.3039644   .1454131    -2.09   0.037    -.5889687     -.01896
>          L3. |   .0981597   .1456564     0.67   0.500    -.1873216     .383641
>          L4. |   .0081719   .1410511     0.06   0.954    -.2682833     .284627
>            E |
>          L1. |  -.1111197   .1855016    -0.60   0.549    -.4746961    .2524566
>          L2. |   .0254513   .1867506     0.14   0.892    -.3405732    .3914758
>          L3. |  -.2986691   .1875468    -1.59   0.111    -.6662541     .068916
>          L4. |   .0016383   .1617178     0.01   0.992    -.3153227    .3185994
>        _cons |    18.8637   4.441675     4.25   0.000     10.15818    27.56923
> -------------+----------------------------------------------------------------
> F1           |
>            C |
>          L1. |    .728714   .0969286     7.52   0.000     .5387376    .9186905
>          L2. |   -.221222   .1187916    -1.86   0.063    -.4540491    .0116052
>          L3. |   .5090438   .1213011     4.20   0.000      .271298    .7467896
>          L4. |  -.3071865   .1216488    -2.53   0.012    -.5456138   -.0687593
>           F1 |
>          L1. |   .3239146   .1185442     2.73   0.006     .0915722    .5562569
>          L2. |   .0113203   .1259315     0.09   0.928    -.2355008    .2581414
>          L3. |   .0733694   .1261422     0.58   0.561    -.1738648    .3206036
>          L4. |   .3028863   .1221539     2.48   0.013      .063469    .5423036
>            E |
>          L1. |  -.3247369   .1606491    -2.02   0.043    -.6396034   -.0098704
>          L2. |   -.225406   .1617309    -1.39   0.163    -.5423927    .0915807
>          L3. |  -.0965215   .1624204    -0.59   0.552    -.4148596    .2218166
>          L4. |  -.2100509   .1400518    -1.50   0.134    -.4845473    .0644455
>        _cons |   19.94553   3.846605     5.19   0.000     12.40632    27.48473
> -------------+----------------------------------------------------------------
> E            |
>            C |
>          L1. |   .5893907   .0783421     7.52   0.000      .435843    .7429384
>          L2. |  -.3047364   .0960128    -3.17   0.002     -.492918   -.1165548
>          L3. |   .3976193   .0980411     4.06   0.000     .2054622    .5897763
>          L4. |   .0127413   .0983221     0.13   0.897    -.1799665    .2054491
>           F1 |
>          L1. |   .4016804   .0958129     4.19   0.000     .2138907    .5894702
>          L2. |  -.3147535   .1017836    -3.09   0.002    -.5142457   -.1152614
>          L3. |  -.1558412   .1019539    -1.53   0.126    -.3556671    .0439848
>          L4. |   .0926355   .0987304     0.94   0.348    -.1008726    .2861435
>            E |
>          L1. |   -.023602    .129844    -0.18   0.856    -.2780915    .2308876
>          L2. |   .2505328   .1307183     1.92   0.055    -.0056704    .5067359
>          L3. |  -.0338416   .1312756    -0.26   0.797    -.2911371    .2234539
>          L4. |  -.1952189   .1131963    -1.72   0.085    -.4170795    .0266417
>        _cons |   12.52217   3.109002     4.03   0.000     6.428634     18.6157
> ------------------------------------------------------------------------------
>
> .   varsoc
>
>    Selection order criteria
>    Sample:  1976q1   2010q3                     Number of obs      =       139
>   +---------------------------------------------------------------------------+
>   |lag |    LL      LR      df    p      FPE       AIC      HQIC      SBIC    |
>   |----+----------------------------------------------------------------------|
>   |  0 |  -1236.7                      11201.5   17.8374   17.8632   17.9008  |
>   |  1 | -1146.61  180.18    9  0.000  3488.08   16.6707   16.7736    16.924* |
>   |  2 | -1125.79  41.648    9  0.000  2942.99   16.5006   16.6807   16.9439  |
>   |  3 | -1111.73  28.119    9  0.001   2737.7   16.4278   16.6851   17.0611  |
>   |  4 | -1096.43  30.599*   9  0.000  2502.72*  16.3371*  16.6717*  17.1605  |
>   +---------------------------------------------------------------------------+
>    Endogenous:  C F1 E
>     Exogenous:  _cons
>
> *
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-- 
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

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