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st: RE: Help with varsoc and var


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Help with varsoc and var
Date   Fri, 20 Jan 2006 11:04:14 -0600

-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: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of mamunk@sacredheart.edu
> Sent: Wednesday, January 18, 2006 10:17 PM
> To: statalist@hsphsun2.harvard.edu
> 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: mamunk@sacredheart.edu
> 



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