Hello everyone,
I am doing a panel var and determine the optimal lag length for the explanatory variables using "varsco" In my model I have a bunch of dummies.. For those dummies I would like the estimation to follow an AR(1) no matter what the optimal length is chosen. How can I write properly the code? That will be
Where y1 y2 y3 are endogenous variables, D1 and D2 are dummies.
Under normal condition for max length say of 7 lags that will be
For the dummies and only for them , however, I would like to include only one lag length and their estimation should be under an AR(1) process ,no matter what the lag length is chosen. How can that be included in the code?
Thank you
Giorgio
I am doing a panel var and determine the optimal lag length for the explanatory variables using "varsco" In my model I have a bunch of dummies.. For those dummies I would like the estimation to follow an AR(1) no matter what the optimal length is chosen. How can I write properly the code? That will be
Code:
varsoc y1 y2 y3 D1 D2
Under normal condition for max length say of 7 lags that will be
Code:
varsoc y1 y2 D1 and D2, maxlag(7)
Thank you
Giorgio
