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| From | Muhammad Anees <anees@aneconomist.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: FW: VAR lag selection and lags autocorrelation |
| Date | Thu, 2 Feb 2012 22:54:47 +0500 |
The references give detailed information about many of your questions. These are also available from the -help varsoc-. More technical details are available from the Stata Time Series Reference. 1. Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. New York: Springer. 2. Nielsen, B. 2001. Order determination in general vector autoregressions. Working paper, Department of Economic, University of Oxford and Nuffield, College. http://ideas.repec.org/p/nuf/econwp/0110.html. On Thu, Feb 2, 2012 at 10:17 PM, Muhammad Akram <aasim548@hotmail.com> wrote: > Dear Statlist et al, > > I have few questions about lag order selection for var (vector autoregressive). I have preestimation varsoc with max lag 8 option. I got the following results > > varsoc Dependant IND1 IND2 IND3, maxlag(8) > Selection-order criteria > Sample: 1989 - 2009 Number of obs = 21 > +---------------------------------------------------------------------------+ > |lag | LL LR df p FPE AIC HQIC SBIC | > |----+----------------------------------------------------------------------| > | 0 | -198.518 2796.63 19.2874 19.3306 19.4863 | > | 1 | -144.204 108.63 16 0.000 75.5051 15.6384 15.8543 16.6332 | > | 2 | -110.247 67.914 16 0.000 16.6656 13.9283 14.3169 15.7189 | > | 3 | -93.6263 33.241 16 0.007 28.5872 13.8692 14.4305 16.4556 | > | 4 | -28.3657 130.52 16 0.000 1.4264* 9.17768 9.91172 12.5599 | > | 5 | 2275.82 4608.4 16 0.000 . -208.745 -207.838 -204.567 | > | 6 | 2451.92 352.19 16 0.000 . -225.516 -224.609 -221.338 | > | 7 | 2555.54 207.25 16 0.000 . -235.385 -234.478 -231.207 | > | 8 | 2571.33 31.577* 16 0.011 . -236.889* -235.982* -232.711* | > +---------------------------------------------------------------------------+ > > This result suggests 8 lags. but my data has only 29 observations for time means T<30. If I use more than 4lags it gives no t or p values in estimations. Moreover, with more than 3lags varstable test doesn't satisfies. > > Another question is about LM-test for autocorrelation. > > varlmar, mlag(3) > Lagrange-multiplier test > +--------------------------------------+ > | lag | chi2 df Prob > chi2 | > |------+-------------------------------| > | 1 | 26.8331 16 0.04338 | > | 2 | 12.3209 16 0.72161 | > | 3 | 14.3204 16 0.57486 | > +--------------------------------------+ > H0: no autocorrelation at lag order > If there is autocorrelation at any of the lags what can be used as a solution in var model. Remember my data is non-stationary at level so I am using var at first difference for all variables. But for lag order selection I am using variables at level. > > I would be greatly thankful for supportive replies. > > Thanks > aasim > > > > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ -- Best --------------------------- Muhammad Anees Assistant Professor/Programme Coordinator COMSATS Institute of Information Technology Attock 43600, Pakistan http://www.aneconomist.com * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/