Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: Solution for Autocorrelation in Lag orders for VAR
From
Muhammad Akram <[email protected]>
To
<[email protected]>
Subject
st: Solution for Autocorrelation in Lag orders for VAR
Date
Sun, 5 Feb 2012 20:17:59 +0500
Hi all,
I want to know if any one can guide me to get rid of autocorrelationin lags in Var model.
I have following results in my model
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
Probability of 1st lag indicates autocorrelation. How to solve this problem
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/