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From | "Michael Ndlovu" <Michael.Ndlovu@resbank.co.za> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: clarity on varsoc command |
Date | Wed, 15 Feb 2012 11:03:36 +0200 |
Hi I am trying to create a time-series model with the optimal lags for each variable. I am using Stata version 12. My understanding of the "varsoc" command is that it gives you optimal lag choice for a set of variables. So if I have type in the command "varsoc y x z" , I will get the optimal lag choices for a model that looks like: y = cons + b1*ylag + b2* xlag + b3*zlag. My problem with this though is the assumption of the same lag period for all these variables. How do I get optimal lag choice for each variable such that the optimal amount of lags to y is not necessarily the same as x or z. Is it correct for me to isolate each variable and make the other variables exogenous i.e. varsoc y x, exog(z) varsoc y z, exog(x) I just need clarity on whether I am going about this the right way or whether there is another way of finding what I want. Regards Michael --------------------- *** Disclaimer *** ---------- This e-mail and its contents are subject to the SA Reserve Bank's Disclaimer and Confidentiality Clause, which can be viewed at: http://www.reservebank.co.za/disclaimer Should you be unable to access the link provided, please send a blank e-mail to Disclaimer@resbank.co.za --------------------------- *** Disclaimer *** ----- * * 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/