VARLAG: Stata module to determine the appropriate lag length in VARs, ECMs

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VARLAG: Stata module to determine the appropriate lag length in VARs, ECMs

Author Info

Patrick Joly () (Industry Canada)

Abstract

varlag reports various statistics that are meant to help select the proper lag structure to use in the estimation of Vector autoregressions (VARs) and Error Correction Models (ECMs). For each lag length, varlag reports the Multivariate portmanteau (Ljung-Box) statistic for white noise residuals, p-values from Omnibus tests of multivariate normality of the residuals, as well as the Breusch-Pagan statistic for the independence of residuals between equations. varlag also performs likelihood ratio tests to test successive null hypotheses of smaller lag length. This package contains bpagan, bgtest, vecar, and vececm, all of which are required by varlag.

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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S425701.

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Programming language: Stata
Requires: Stata version 7.0
Date of creation: 24 May 2002
Date of revision: 08 Jan 2003
Handle: RePEc:boc:bocode:s425701

Note: This module may be installed from within Stata by typing "ssc install varlag". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

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Web: http://repec.org/docs/ssc.php

For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

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This page was last updated on 2008-5-14.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.