Hello everyone, I am working on a Time series analysis, using VECM models. I will need to compare models. I am facing two difficulties. I need to calculate model weights based on AIC statistics, is there any command on Stata that would help me to derive the weights. Another query is, if I wish to estimate monthly data and then estimate over 10 years (Jan1960-Dec1968) then recursively at 3 months interval through (Jan1960-un1981) giving 51 recursions, how do I do that on Stata? Thank You.
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