Can you use an information criterion, such as the Bayesian information
criterion
or the Hannan and Quinn information criterion to determine optimal lag
length?
The pre-estimation version of -varsoc- might be useful here.
Scott
----- Original Message -----
From: [email protected]
Date: Wednesday, June 22, 2005 6:25 am
Subject: st: Engle-Granger-Yoo 3-step procedure (3 step estimator)
> Dear evereone,
>
> I have a question to the Engle-Granger-Yoo 3-step procedure.
> My question is:
>
> How can I do the step 2 with STATA?
>
> I would be very grateful for the help.
>
> Thanks!
>
> Inna
>
>
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