-varsoc- returns the results to r(stats).
http://www.stata.com/statalist/archive/2005-02/msg00264.html is an example
of using -varsoc- to determine the optimal lag for each unit in panel
dataset.
Hope this helps,
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of [email protected]
> Sent: Wednesday, January 18, 2006 10:17 PM
> To: [email protected]
> Subject: st: Help with varsoc and var
>
> Hello,
>
> Background of the problem:
> I want to use "varsoc" command to select the lag size first and then use
> the lag# to "var" command. It can easily be done by looking at the results
> of "varsoc" command and the pick the lag# for the "var" command. But I
> need to do it for over 1000 times. So, I am writing a loop.
>
> The problem:
> Picking the lowest lag from the results of "varsoc" command while writing
> a loop. Is there anyway to save or store the varsoc results so that I can
> pick the lowest lag (say according to AIC or SBIC) from those saved
> results?
>
> Thanks.
>
>
> Khawaja A. Mamun
> Assistant Professor
> Department of Economics and Finance
> Sacred Heart University
> RH # 256A
> 5151 Park Ave.
> Fairfield, CT 06825
> Phone: (203) 371 7857
> Email: [email protected]
>
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