VAR analysis
Posted: Fri Feb 06, 2009 1:23 pm
I am doing a research in which I need to run several regression using VAR tecnique.
I need a program that for each VAR estimation print in a file of Word the following test:
- the correct lag length with both the LR,AIC,SIC,HIC criterion and the Wald test,
- test of normality of residuals, tests of autocorrelation.
I need just the syntax of this problem. I tried to look me around but I didn't find a tutorial with all the commands related to the VAR.
There is someone who could help me? If you have also some tutorial suggestion it will be welcome!!!
Cheers!!!
I need a program that for each VAR estimation print in a file of Word the following test:
- the correct lag length with both the LR,AIC,SIC,HIC criterion and the Wald test,
- test of normality of residuals, tests of autocorrelation.
I need just the syntax of this problem. I tried to look me around but I didn't find a tutorial with all the commands related to the VAR.
There is someone who could help me? If you have also some tutorial suggestion it will be welcome!!!
Cheers!!!