Automatic VAR selection
Posted: Tue Jul 24, 2012 6:49 pm
I am running the following program to select the lag order in a VAR. However, I get an illegal lag specification when I run it. Does anyone know why this is?
var var_{%k}
var_{%k}.ls 1 4 d_oil d_fao_d d_{%k}_cpif d_{%k}_fx @ dum1 dum2 dum3
var_{%k}.laglen(4,vname=vec_{%k})
scalar j=vec_{%k}(4)
var_{%k}.ls 1 j d_oil d_fao_d d_{%k}_cpif d_{%k}_fx @ dum1 dum2 dum3
var_{%k}.svar(rtype=patsr, namea=mata, nameb=matb, f0=n, nostop)
freeze(ir_{%k}) var_{%k}.impulse(24,m,imp=unit, se=a) d_{%k}_cpif @ d_fao_d
Rgds
var var_{%k}
var_{%k}.ls 1 4 d_oil d_fao_d d_{%k}_cpif d_{%k}_fx @ dum1 dum2 dum3
var_{%k}.laglen(4,vname=vec_{%k})
scalar j=vec_{%k}(4)
var_{%k}.ls 1 j d_oil d_fao_d d_{%k}_cpif d_{%k}_fx @ dum1 dum2 dum3
var_{%k}.svar(rtype=patsr, namea=mata, nameb=matb, f0=n, nostop)
freeze(ir_{%k}) var_{%k}.impulse(24,m,imp=unit, se=a) d_{%k}_cpif @ d_fao_d
Rgds