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

Patrick Joly ()
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Patrick Joly: Industry Canada

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 7.0
Keywords: vector autoregression; Q test; omnibus test; Breusch-Pagan test (search for similar items in EconPapers)
Date: 2002-05-24, Revised 2003-01-08
Note: This module may be installed from within Stata by typing "ssc install varlag". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/v/varlag.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/varlag.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wntstmvq.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wntstmvq.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/o/omninorm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/o/omninorm.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_gstdn.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/matmap.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/matmap.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vececm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vececm.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vec_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/j/johans.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/j/johans.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lrjtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lrjtest.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wjtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wjtest.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vecar.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vecar.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/b/bpagan.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/b/bpagan.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/b/bgtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/b/bgtest.hlp help file (text/plain)

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