RE: st: RE: Hannan-Quinn Criterion for nonstationary series

["Sean MC allister" <sean_mcallister22@hotmail.com>]

Scott,
It works well.
Thank you for your kind help.
Sean


> From: "Scott Merryman" <smerryman@kc.rr.com>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: <statalist@hsphsun2.harvard.edu>
> Subject: st: RE: Hannan-Quinn Criterion for nonstationary series
> Date: Tue, 8 Feb 2005 18:03:39 -0600
>
> Sean,
>
> I would think you would be able to use -varsoc- for each cross-section to
> find the optimal lag length.
>
> Below, is an example where -varsoc- is used to determine the optimal lag
> length for each county and then these values are fed into -levinlin-.
>
> Hope this helps,
> Scott
>
> use http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta,clear
> qui {
> keep if country < 13
> preserve
> levels country, local(levels)
> foreach l of local levels {
> 	varsoc rgdp if country == `l'
> 	matrix A = r(stats)
> 	if `l' > 1 {
> 		matrix C = C \ A
> 	}
> 	else {
> 		matrix C = A
> 	}
> }
> svmat C, name(col)
> keep if HQ < .
>
> egen id = fill(1 1 1 1 1 2 2 2 2 2)
>
> egen minh = min(H), by(id)
> gen optimal_lag = lag if minh == HQ
>
> sort id opt
> forv i = 1(5)60 {
> 	local lag = opt[`i']
> 	local opt_lag "`opt_lag' `" "' `lag'"
> }
>
> restore
> }
> levinlin rgdp, lag(`opt_lag')
>
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> > statalist@hsphsun2.harvard.edu] On Behalf Of Sean MC allister
> > Sent: Tuesday, February 08, 2005 4:35 AM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: Hannan-Quinn Criterion for nonstationary series
> >
> > Hi
> > I'm performing a convergence test on panel data based on the unit root
> > test
> > of Levin and Lin. I face the problem of selecting, for each country, the
> > lag's length which eliminates residual autocorrelation. I wanted to use
> > the
> > Hannan-Quinn's criterion but the only command I found to get it is
> > "varsoc"
> > which is used for VAR. I worry because my sample is very small (T=11 and
> > N=15). Is there a command that give this criterion for short 
> nonstationary
> > time series?
> > I hope you could help me and I thank you in advance for your answer.
> > Yours sincerely,
> > Sean
>
>
>
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