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From | Muhammad Akram <aasim548@hotmail.com> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: Solution for Autocorrelation in Lag orders for VAR |
Date | Sun, 5 Feb 2012 20:17:59 +0500 |
Hi all, I want to know if any one can guide me to get rid of autocorrelationin lags in Var model. I have following results in my model 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 Probability of 1st lag indicates autocorrelation. How to solve this problem Thanks Aasim * * 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/