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From | Muhammad Anees <anees@aneconomist.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Solution for Autocorrelation in Lag orders for VAR |
Date | Sun, 5 Feb 2012 20:40:10 +0500 |
Have you tried this for different lag length? You can add more lags if enough time series is available to get rid of this problem. The earlier suggested book by Lutkpohl provides details on this and other related issues. On Sun, Feb 5, 2012 at 8:17 PM, Muhammad Akram <aasim548@hotmail.com> wrote: > 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/ -- Best --------------------------- Muhammad Anees Assistant Professor/Programme Coordinator COMSATS Institute of Information Technology Attock 43600, Pakistan http://www.aneconomist.com * * 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/