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st: How to determine lag structure of VAR?
From
Jason R Franken <[email protected]>
To
[email protected]
Subject
st: How to determine lag structure of VAR?
Date
Thu, 28 Feb 2013 11:43:36 -0600 (CST)
I want to determine the appropriate lag structure for a VAR of 3 price series - C, F1, and E. A prior study used these variables and determined the structure using Akaiki's Final Prediction Error (FPE), which can be obtained with the below commands.
My problem is that the prior study was able to ascertain how the lag length differed for each variable and in each equation (that is 4 lags of each variable in each equation might not be appropriate), and I'm not sure how to investigate this with the below commands. Specifically, the prior study finds (for a shorter time period) that the F1 equation has lag 1 of F1 and lags 1 and 2 of C; the E equation has only lags 1 through 4 of C; and the C equation has only lag1 of F1.
Can I examine this by estimating a VAR with commands for seemingly unrelated regression (reg3, sur; suest; sureg)?
Thanks in advance,
Jason Franken
RESULTS:
. var C F1 E, lags(1/4)
Vector autoregression
Sample: 1976q1 2010q3 No. of obs = 139
Log likelihood = -1096.43 AIC = 16.33712
FPE = 2502.717 HQIC = 16.6717
Det(Sigma_ml) = 1425.583 SBIC = 17.16046
Equation Parms RMSE R-sq chi2 P>chi2
----------------------------------------------------------------
C 13 5.20584 0.5664 181.5755 0.0000
F1 13 4.50839 0.6138 220.9116 0.0000
E 13 3.64389 0.7331 381.8178 0.0000
----------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
C |
C |
L1. | .8522103 .1119234 7.61 0.000 .6328444 1.071576
L2. | -.2105517 .1371686 -1.53 0.125 -.4793972 .0582938
L3. | .4614619 .1400664 3.29 0.001 .1869368 .735987
L4. | -.0850031 .1404678 -0.61 0.545 -.360315 .1903088
F1 |
L1. | .1405764 .136883 1.03 0.304 -.1277093 .4088621
L2. | -.3039644 .1454131 -2.09 0.037 -.5889687 -.01896
L3. | .0981597 .1456564 0.67 0.500 -.1873216 .383641
L4. | .0081719 .1410511 0.06 0.954 -.2682833 .284627
E |
L1. | -.1111197 .1855016 -0.60 0.549 -.4746961 .2524566
L2. | .0254513 .1867506 0.14 0.892 -.3405732 .3914758
L3. | -.2986691 .1875468 -1.59 0.111 -.6662541 .068916
L4. | .0016383 .1617178 0.01 0.992 -.3153227 .3185994
_cons | 18.8637 4.441675 4.25 0.000 10.15818 27.56923
-------------+----------------------------------------------------------------
F1 |
C |
L1. | .728714 .0969286 7.52 0.000 .5387376 .9186905
L2. | -.221222 .1187916 -1.86 0.063 -.4540491 .0116052
L3. | .5090438 .1213011 4.20 0.000 .271298 .7467896
L4. | -.3071865 .1216488 -2.53 0.012 -.5456138 -.0687593
F1 |
L1. | .3239146 .1185442 2.73 0.006 .0915722 .5562569
L2. | .0113203 .1259315 0.09 0.928 -.2355008 .2581414
L3. | .0733694 .1261422 0.58 0.561 -.1738648 .3206036
L4. | .3028863 .1221539 2.48 0.013 .063469 .5423036
E |
L1. | -.3247369 .1606491 -2.02 0.043 -.6396034 -.0098704
L2. | -.225406 .1617309 -1.39 0.163 -.5423927 .0915807
L3. | -.0965215 .1624204 -0.59 0.552 -.4148596 .2218166
L4. | -.2100509 .1400518 -1.50 0.134 -.4845473 .0644455
_cons | 19.94553 3.846605 5.19 0.000 12.40632 27.48473
-------------+----------------------------------------------------------------
E |
C |
L1. | .5893907 .0783421 7.52 0.000 .435843 .7429384
L2. | -.3047364 .0960128 -3.17 0.002 -.492918 -.1165548
L3. | .3976193 .0980411 4.06 0.000 .2054622 .5897763
L4. | .0127413 .0983221 0.13 0.897 -.1799665 .2054491
F1 |
L1. | .4016804 .0958129 4.19 0.000 .2138907 .5894702
L2. | -.3147535 .1017836 -3.09 0.002 -.5142457 -.1152614
L3. | -.1558412 .1019539 -1.53 0.126 -.3556671 .0439848
L4. | .0926355 .0987304 0.94 0.348 -.1008726 .2861435
E |
L1. | -.023602 .129844 -0.18 0.856 -.2780915 .2308876
L2. | .2505328 .1307183 1.92 0.055 -.0056704 .5067359
L3. | -.0338416 .1312756 -0.26 0.797 -.2911371 .2234539
L4. | -.1952189 .1131963 -1.72 0.085 -.4170795 .0266417
_cons | 12.52217 3.109002 4.03 0.000 6.428634 18.6157
------------------------------------------------------------------------------
. varsoc
Selection order criteria
Sample: 1976q1 2010q3 Number of obs = 139
+---------------------------------------------------------------------------+
|lag | LL LR df p FPE AIC HQIC SBIC |
|----+----------------------------------------------------------------------|
| 0 | -1236.7 11201.5 17.8374 17.8632 17.9008 |
| 1 | -1146.61 180.18 9 0.000 3488.08 16.6707 16.7736 16.924* |
| 2 | -1125.79 41.648 9 0.000 2942.99 16.5006 16.6807 16.9439 |
| 3 | -1111.73 28.119 9 0.001 2737.7 16.4278 16.6851 17.0611 |
| 4 | -1096.43 30.599* 9 0.000 2502.72* 16.3371* 16.6717* 17.1605 |
+---------------------------------------------------------------------------+
Endogenous: C F1 E
Exogenous: _cons
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