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: 0 lag command for Pooled Mean Group (PMG) Estimator
From
Bee Wah TAN <[email protected]>
To
statalist <[email protected]>
Subject
st: 0 lag command for Pooled Mean Group (PMG) Estimator
Date
Thu, 21 Nov 2013 12:07:50 +0800
Dear All Statalist User,
I am running the Pooled Mean Group (PMG) estimator. The best lag
length - AIC, BIC for my ARDL model is (1,2,1,1). Thus, the PMG
command is written as this:-
xtpmg d(1).lrgdpc d(1/2).lglob d(1).lpri d(1).lsmc, lr(l.lrgdpc lglob
lpri lsmc) ec(ec) replace pmg
After determine the ARDL best lag is (1,2,1,1) and run out the PMG
results, I continue with diagnostic checking, and the command for
serial correlation diagnostic check is as below:-
First, I run the regression base on the best lag:-
reg dlrgdpc lglob lpri lsmc dlrgdpc(-1) dlglob dlglob(-1) d.dlglob(-2)
dlpri dlpri(-1) dlsmc dlsmc(-1)
Then, I test the serial correlation test by putting the xtserial command:-
xtserial dlrgdpc lglob lpri lsmc dlrgdpc(-1) dlglob dlglob(-1)
d.dlglob(-2) dlpri dlpri(-1) dlsmc dlsmc(-1)
My question is:-
1. What is the command for 0 lag? For lag 1, we put d(1).lglob for
example. If lag 0, is that we need to write d(0).lglob for 0 lag??
2. I am running the xtserial diagnostic checking but I am not sure
whether it is the correct way/command? Can someone advice me further?
Thanks
--
*Best Regards,
*Bee Wah TAN
*[image: Description:
http://ybpguide.com/2008/04/22/go-green-checklist/]SAVEPAPER
- Please do not print this e-mail unless absolutely necessary*
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/