Hello.
I want to know the causality between GDP and Employment.( I have two time series data: GDP and employment)
I am using varsoc command and my stata command is:
1. varsoc gdp employment
2. varsoc employment gdp
So my question is that, is there any need to find a optimal lag length after using varsoc gdp employment?
Can it be different lags for each direction?
For example: Lag 2 for GDP and employment
Lag 3 for employment and GDP
My second question is that:
When I use the 'forvalues' command, it gives a different lag length with each variable.
For example, Y → X (lag 2, based on AIC), X → Y (lag 3).
In my understanding, with each direction(Y → X, X →Y), the lag length should be the same.
Is it okay to use the command of 'varsoc'? Is it different than the command of 'forvalues?
Thanks a lot.
Related Posts with Lag selection for Granger Causality
calculating distance in StataDear All, I would like to know how I can calculate distance in stata between two cities in a country…
Panel Data - Which model to use? Fama macbeth or panel data another modelHello, I am currently writing my thesis in Finance. I want to compare the difference in Turnover ra…
If qualifier for n variables equal to zeroDear Stata community, dear Nick I am looking for a command which allows me to create an if-statement…
Capture change in one variable while different variable is constantDear Statalisters, I am working with a longitudinal dataset. I'm trying to create a variable to cap…
tabm and percentagesHello, This is a question that has come up after my last couple posts on the Statalist and is now a…
Subscribe to:
Post Comments (Atom)
0 Response to Lag selection for Granger Causality
Post a Comment