Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(Dlrgdp Dlop Dlexc Dunp Dinf)
. . . . .
-.04316902 -.0036604404 -.0008628368 -.1 2.503651
-.028956413 -.08054447 -.020701766 .7 2.0455003
.08399487 .17828774 .03753448 -.5 .8228207
-.01137352 -.04705215 .06241119 .2 1.62337
-.022613525 -.10607576 .06047547 .2 -.7381243
-.015737534 -.05337715 .06826341 .4 -.4310148
.05860233 .05288005 -.04127169 -.6 -1.1944033
-.01995945 -.08884788 .019032836 .2 -.48498535
-.025244713 .04567003 .02091241 .4 -.8472849
-.009765625 -.009387732 .08882523 .4 -.19893816
.06259918 -.00683546 .073213935 .4 .7637694
-.009399414 -.0800426 -.005073905 .4 -1.834847
.007008553 .010914087 .0083755255 .1 -.6644893
-.017912865 .02732563 .032039404 .1 -1.3179516
.065146446 -.04581285 .013346195 -1.2 -.5009662
.00942421 .010084867 .02453232 .6 -.979468
-.020303726 .002732754 .00676179 .1 .16417363
.02085972 -.04061341 .07764363 .3 -.3391408
.04980183 -.023606777 .05618048 -1.1 -.1692508
.011543274 -.0044965744 .05679584 .5 -.27414608
-.036082268 -.015342474 -.05182862 -.7 .06894309
.01897907 .005304575 -.06399655 .8 .019889154
.06870365 .035532236 -.06899428 -1.1 -.1504912
-.02629471 -.492239 -.06177926 0 .1398328
-.005705833 -.3213961 .01131153 -.1 .28220645
-.0007314682 0 -.0021862984 .4 1.9575448
.07444286 .1625726 .011133432 -.6 .7993081
-.04241371 .19018364 -.05986404 .7 1.1553462
.003426552 .03786588 -.04718626 -.6 -.2632084
-.03904152 .029469013 .0028271675 .4 -1.80022
.09070873 -.064515114 -.03897548 -.3 -.4852419
-.0380516 -.11970901 -.016815186 .6 -.3382464
-.03488922 .02114606 -.017273188 .4 -.05461295
-.009062767 -.13296938 .08864713 .5 -.4068208
.06791592 -.069060326 -.03344822 .5 -.5988197
-.05028057 .25841665 .016834259 .9 -1.3222104
.02255535 .08156276 .0415448 -.033333335 -.016248424
-.024207115 -.05910301 .004276037 .26666668 -.159935
.07222748 .072547674 -.027472496 -.1 -.21699703
-.02434349 .03893995 -.04696953 .7333333 .064706445
-.025891304 -.20725727 -.006798387 -.5 -.5352536
-.011367798 .4835284 -.05305231 .033333335 -.026493566
.0831728 .1891837 -.04859436 -.3666667 .7205932
-.0319252 -.4457831 .018657684 .7666667 -.624119
.013855934 -.07966495 .12299943 -.3666667 -.09950262
-.028817177 .05793595 .008721352 .23333333 -.3029495
.06528664 .022568226 -.063886166 .033333335 -.9227142
.00262928 -.1264615 -.005768895 .6 -.235843
-.030332565 .1171906 -.006651998 -.13333334 .08376388
.008387566 .015793324 -.08576798 .033333335 -.11639638
.05217743 -.05341005 .09891403 -.3666667 -.06327721
-.03020191 -.05233955 .08356285 .6333333 .3614076
-.012756348 .00018525124 -.01551175 -.16666667 -.1864905
.016050339 -.10499 .05739963 0 -.26853305
.0934496 -.07940865 .01007378 -.7666667 -.16460283
-.04366684 -.07587433 .015948415 .3 -.7418476
.00847435 .15959454 -.031848192 .033333335 -.26816398
-.02486992 .04682732 -.05193007 -.3 .5646817
.09761047 -.026546717 -.016186953 -.4 .2017622
-.02917862 .036661625 -.032115936 .56666666 .9194045
-.031635284 .05387354 -.04464781 -.3333333 .033250786
.02602291 -.1004212 .010604978 -.4 -.3688772
.07105446 .032122374 -.0038758516 -.6 -.1604253
-.011328697 .0757897 .02155018 .8 -1.267848
-.030052185 .06210089 .018499613 0 .09279093
.029580116 .0570159 -.01876986 -.23333333 .3933002
.04030895 .11149788 .003127813 -.53333336 .3908738
-.017730713 -.08976126 .0299412 .033333335 1.288968
.03354168 -.13125277 .06529093 -.033333335 -.3671627
-.025523186 .00897336 .05278087 -.26666668 -.4056301
.0763483 .009778738 -.04578638 -.7666667 -.06284544
-.01279831 -.28532577 .05636358 .1 -.07036417
-.02697754 -.064397335 -.003437281 .16666667 .08619802
-.02005291 -.021053314 .01630497 -.3666667 .04336648
.06525898 -.09287786 -.019602537 -.6 .03437156
-.02033615 -.017594099 .022954226 .3 -.06871117
-.023492813 .3197281 .017477036 .16666667 .22185943
.013630867 .2431948 .005753994 .23333333 -.42495185
.07452679 .15230894 .006227255 -.033333335 .635814
-.0006017685 .11157179 .04070139 .23333333 .20604932
-.0603199 .005619764 .06567001 -.2 .02448303
.008555412 .11014366 .019916296 .13333334 .5073769
.06538296 -.007164478 .032980442 -.3 -.3121837
-.005785942 -.12935114 -.04024959 .3 .4127289
-.04561424 .024876595 .032016277 .033333335 .4161568
.010370255 -.05828905 -.020018816 .2 -1.38022
.06894302 -.26657724 -.010724306 -.2 -.54820776
-.04633999 .0800693 .0009560585 .3666667 -.9773316
.02115917 .1861112 -.08499837 0 -.56555325
-.03976345 .066512346 -.08406281 -.06666667 .9514818
.07687569 -.007452488 -.02767825 -.13333334 .8089243
-.02139473 .1587529 -.03637564 .4333333 2.376654
-.04574585 -.16814756 -.006904006 .3666667 -2.358829
.011060715 .0691607 .04578185 .1 -.3375081
.064902306 .03383112 -.058622 -.3333333 -.6932737
.014725685 .09015703 -.001775503 .033333335 -2.642757
-.03930473 .10330415 -.006779671 .2 2.2560117
-.018507004 .12952352 .00048577785 .16666667 .3781398
.08005524 .05228329 -.0803665 -.3666667 .035423394
end
Based on my estimation sample, the FPE, AIC, HQIC picked 4 lags while the SBIC chose 1 lag. I understand that the FPE and AIC tend to overestimate estimate the lag order even in infinite samples while the SBIC and HQIC are generally quite accurate in in selecting the true lag order. In my case, the SBIC predicted 1 lag while the HQIC predicted 5 lags and can I, based on the fact that the other information criteria also chose 5 lags, consider my differenced variables to contain 5 lags?
varbasic Dlrgdp Dlop Dlexc Dunp Dinf, lags(1 2 3 4 5)
Comment