varsoc.hlp

是一个经济学管理应用软件 很难找的 但是经济学学生又必须用到

{smcl}
{* 03may2005}{...}
{cmd:help varsoc}{right:dialogs:  {bf:{dialog varsoc}}  {bf:{dialog varsoc_post}}}
{hline}

{title:Title}

{p2colset 5 20 22 2}{...}
{p2col:{hi:[TS] varsoc} {hline 2}}Obtain lag-order selection statistics for
VARs and VECMs {p_end}
{p2colreset}{...}


{title:Syntax}

{pstd}
    Pre-estimation syntax

{p 8 15 2}
{cmd:varsoc}
{depvarlist}
{ifin}
[{cmd:,} {it:pre-estimation_options}]

{pstd}
    Postestimation syntax

{p 8 15 2}
{cmd:varsoc}
[{cmd:,} {opt est:imates(estname)}]

{synoptset 28 tabbed}{...}
{synopthdr:pre-estimation_options}
{synoptline}
{syntab:Main}
{synopt:{opt m:axlag(#)}}set maximum lag order to {it:#}; default is {cmd:maxlag(4)}{p_end}
{synopt:{opt ex:og(varlist)}}use exogenous variables {it:varlist}{p_end}
{synopt:{opt const:raints(constraints)}}apply constraints to exogenous variables{p_end}
{synopt:{opt nocons:tant}}suppress constant term{p_end}
{synopt:{opt lut:stats}}use L{c u:}kepohl's version of information criteria{p_end}
{synopt:{opt l:evel(#)}}set confidence level; default is {cmd:level(95)}{p_end}
{synopt:{opt sep:arator(#)}}draw separator line after every {it:#} rows{p_end}
{synoptline}
{p2colreset}{...}
{p 4 6 2}You must {helpb tsset} your data before using {cmd:varsoc}.


{title:Description}

{pstd}
{opt varsoc} reports the final prediction error (FPE), Akaike's
information criterion (AIC), Schwarz's Bayesian information criterion
(SBIC), and the Hannan and Quinn information criterion (HQIC)
lag-order selection statistics for a series of vector autoregressions of order
1,..,{opt maxlag()}.  A sequence of likelihood-ratio test statistics for all
of the full VARs of order less than or equal to the highest lag order
requested is also reported.  In the postestimation version, the maximum
lag and estimation options are based on the model just fit or the model 
specified in {opt estimates(estname)}.

{pstd}
The pre-estimation version of {opt varsoc} can also be used to select the lag
order for a vector error-correction model (VECM).  The lag-order selection
statistics discussed here can be used in the presence of I(1) variables.


{title:Pre-estimation options}

{dlgtab:Main}

{phang}
{opt maxlag(#)} specifies the maximum lag order for which the statistics are
   to be obtained.  

{phang}
{opth exog(varlist)} specifies exogenous variables to include in the
VARs fit by {opt varsoc}.

{phang}
{opt constraints(constraints)} specifies a list of constraints on the
   exogenous variables to be applied.  Do not specify constraints on the lags
   of the endogenous variables since specifying one would mean that at least
   one of the VAR models considered by {opt varsoc} will not contain the lag
   specified in the constraint.  Use {helpb var} directly to obtain
   selection-order criteria with constraints on lags of the endogenous
   variables.

{phang}
{opt noconstant} suppresses the constant terms from the model.  By default,
   constant terms are included.

{phang}
{opt lutstats} requests that the L{c u:}tkepohl versions of the
   information criteria be calculated and reported.  See {bf:[TS] varsoc},
   Methods and Formulas for details.

{phang}
{opt level(#)} specifies the confidence level, as a percentage, that is used
   to identify the first likelihood-ratio test that rejects the null
   hypothesis that the additional parameters from adding a lag are jointly
   zero.  The default is {cmd:level(95)} or as set by {opt set level}; see
   {helpb level}.

{phang}
{opt separator(#)} specifies how often separator lines should be drawn between
   rows.  By default, separator lines do not appear.  For example,
   {cmd:separator(1)} would draw a line between each row, {cmd:separator(2)}
   between every other row, and so on.


{title:Postestimation option}

{phang}
{opt estimates(estname)} specifies the name of a previously stored set of
   {helpb var} or {helpb svar} estimates.  When no {depvarlist} is specified,
   {opt varsoc} uses the postestimation syntax and uses the currently
   active estimation results or the results specified in
   {opt estimates(estname)}.  See {helpb estimates} for information about
   saving and restoring estimation results.


{title:Examples}

{phang}{cmd:. varsoc}{p_end}

{phang}{cmd:. varsoc dlincome dlconsumption, maxlag(4)}{p_end}


{title:Also see}

{psee}
Manual:  {bf:[TS] varsoc}

{psee}
Online:  
{helpb svar},
{helpb var},
{helpb varbasic},
{helpb vec}
{p_end}