Thursday, January 31, 2013

A Request for Stata Information

Bernard Njindan Iyke writes:

"Dear Prof Dave
I am investigating the linkages among financial deepening, trade openness and economic growth.

Can you assist me in getting the Stata commands for:
1. Trivariate Panel Granger Causality Test
2. Choi (2006) Unit Root Test
3. Fisher-Johansen Panel Cointegration Test (Maddala and Wu, 1999).
Thank you in advance."

I'm not much of a Stata user myself, so I thought I'd put this out there to see what comments/suggestions readers have for Bernard. 


© 2013, David E. Giles

3 comments:

  1. He should ask this question on Statalist: http://www.stata.com/statalist/

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  2. Dear Prof Dave

    I am a student and I am learning VAR only

    Could you confirm or deny the following steps at the VAR model?
    1 / See the stationarity of variables (both stationary with ADF)
    2/Detect the optimal Lag (AIC and BIC)
    3/Estimation VAR model
    4 / confirm the hypothesis of "no autocorrelation errors"(Otherwise. What should I do?)
    5/Analyse the impulse response function and variance decomposition
    6/Analyse of causality

    At stata there is a test that I could not understand, about the stability of the model "Eigenvalue stability condition", could you assist me to understand it?


    Thank you very much Mr.

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    Replies
    1. Yes, these are the basic steps. As I said in this post, I'm not a STATA user. (See the other comment above for some help.)

      My guess is that what you mention is a chack on the roots of the characteristic equation - are thay all outside the unit circle. If not, the model is dynamically unstable, and shouldn't be used.

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