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Re: st: FW: VAR lag selection and lags autocorrelation
From
Muhammad Anees <[email protected]>
To
[email protected]
Subject
Re: st: FW: VAR lag selection and lags autocorrelation
Date
Thu, 2 Feb 2012 22:54:47 +0500
The references give detailed information about many of your questions.
These are also available from the -help varsoc-. More technical
details are available from the Stata Time Series Reference.
1. Lütkepohl, H. 2005. New Introduction to Multiple Time Series
Analysis. New York: Springer.
2. Nielsen, B. 2001. Order determination in general vector
autoregressions. Working paper, Department of Economic, University of
Oxford and Nuffield, College.
http://ideas.repec.org/p/nuf/econwp/0110.html.
On Thu, Feb 2, 2012 at 10:17 PM, Muhammad Akram <[email protected]> wrote:
> Dear Statlist et al,
>
> I have few questions about lag order selection for var (vector autoregressive). I have preestimation varsoc with max lag 8 option. I got the following results
>
> varsoc Dependant IND1 IND2 IND3, maxlag(8)
> Selection-order criteria
> Sample: 1989 - 2009 Number of obs = 21
> +---------------------------------------------------------------------------+
> |lag | LL LR df p FPE AIC HQIC SBIC |
> |----+----------------------------------------------------------------------|
> | 0 | -198.518 2796.63 19.2874 19.3306 19.4863 |
> | 1 | -144.204 108.63 16 0.000 75.5051 15.6384 15.8543 16.6332 |
> | 2 | -110.247 67.914 16 0.000 16.6656 13.9283 14.3169 15.7189 |
> | 3 | -93.6263 33.241 16 0.007 28.5872 13.8692 14.4305 16.4556 |
> | 4 | -28.3657 130.52 16 0.000 1.4264* 9.17768 9.91172 12.5599 |
> | 5 | 2275.82 4608.4 16 0.000 . -208.745 -207.838 -204.567 |
> | 6 | 2451.92 352.19 16 0.000 . -225.516 -224.609 -221.338 |
> | 7 | 2555.54 207.25 16 0.000 . -235.385 -234.478 -231.207 |
> | 8 | 2571.33 31.577* 16 0.011 . -236.889* -235.982* -232.711* |
> +---------------------------------------------------------------------------+
>
> This result suggests 8 lags. but my data has only 29 observations for time means T<30. If I use more than 4lags it gives no t or p values in estimations. Moreover, with more than 3lags varstable test doesn't satisfies.
>
> Another question is about LM-test for autocorrelation.
>
> 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
> If there is autocorrelation at any of the lags what can be used as a solution in var model. Remember my data is non-stationary at level so I am using var at first difference for all variables. But for lag order selection I am using variables at level.
>
> I would be greatly thankful for supportive replies.
>
> Thanks
> aasim
>
>
>
>
>
>
>
> *
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--
Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com
*
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