Good morning everyone;
I want to perform a cointegration with the Error correction model.
Everything works fine. My data with optimal lags 1 and 2 are of the same order I(1).
They are stationary in the first difference.
However here is my code to determine if, in the first difference, they are stationary:
varsoc dloga
* Optimal lag = 2 by HQIC, SBIC, AIC
varsoc dlogb
* Optimal lag = 0 by HQIC, SBIC, AIC
As you can see the optimal lag for the first difference of the second variable b is 0 with all criteria. I wanted to know if this would be a problem later in the estimation of my coefficients for the error correction model.
Thanks in advance.
Pita
Related Posts with Optimal lags and Error-correction model
Tobit regression with "outreg2" output?Dear All, I run this Tobit model Code: sysuse auto, clear gen wgt=weight/1000 // Censored from belo…
Lagged dependent variableHi dear, I have a question. In my dataset, the dependent variable is related to 2020 but the indepen…
Difference in Difference with propensity score matchingHello Statalist team, may I ask you the following qustion? I would like to use the DID with propens…
How to give different color for all the scatter plots in a graph?Hello everyone, I am using Stata 16.0, The data is in wide format with 29 observations. It is a Nati…
How to convert to date when data is saved as long format (%tdD_m_Y ); for example-15 Oct 13How to convert to date when data is saved as long format (%tdD_m_Y ); for example-15 Oct 13 …
Subscribe to:
Post Comments (Atom)
0 Response to Optimal lags and Error-correction model
Post a Comment