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|Posté le: Sam 18 Nov - 01:52 (2017) Sujet du message: Varsoc stata command manual
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What about regarding STATA automatically choosing the optimal lag? to this 'optimal lag' issue, STATA manual only seems to immediately . the official command may be able to incorporate this, as varsoc is able to which would be the command for Newey West standard errors, you'll run into an error.
8 May 2015 Look at the varsoc command. You would type: varsoc varname. This Stata command also includes the one break Perron and Vogelsang unit root test. But I know Stata typically has good documentation, so you should
The Time-Series Reference Manual organizes the commands alphabetically, univariate time series or preestimation or postestimation commands that are .. variable to include. varsoc produces statistics for determining the order of a VAR
Although I know nothing about the -varsoc- command, I don't think x to vary over a list of variables, but your reference to it inside that loop, x,
Though stata manual notes the following " To test Nielsen (2001) has shown that the Methods implemented in varsoc can be used to determine the lag order
I ran -varsoc x, maxlags(5)-, and both AIC and BIC showed 5 lags. If you look for 5 minutes in the documentation (particularly the subject
Title stata.com varsoc — Obtain lag-order selection statistics for VARs and VECMs. Syntax. Menu. Description. Preestimation options. Postestimation option.
This manual entry provides an overview of the commands for VECMs; provides varsoc. veclmar tests that the residuals have no serial correlation, and vecnorm
stata.com arima — ARIMA, ARMAX, and other dynamic regression models. Syntax Basic syntax for a regression model with ARMA disturbances arima depvar Comparing predictions after arima with manual computations. The Stata Blog:
In Stata type: .. All these are reported by the command 'varsoc' in Stata. 'A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions'.
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