hello, i would like to do the pvargranger test. however, i get the error message that pvargranger can only be used with pvar and not with pvar2. then i don't understand here the example from lütkepohl. Can anyone explain this to me?
here is the pvar2 command and then the pvargranger. why doesn't it work for me?
Code:
/* NOTE
This example uses follows that in the official Stata suite of time-series VAR packages
estimated using the beta panel VAR suite.
*/
webuse lutkepohl2, clear
gen id = 1
xtset id qtr
global var dln_inv dln_inc dln_consump
* Lag-order selection
varsoc $var
pvarsoc $var
* VAR estimation
var $var
estimates store estvar
pvar2 $var, fod lags(2)
estimates store estpvar
estimates table estvar estpvar, se
* VAR stability
estimates restore estvar
varstable, graph
estimates restore estpvar
pvarstable, graph
* Granger-causality
vargranger, est(estvar)
pvargranger, est(estpvar)
* IRF estimation
estimates restore estvar
tempname irfv irfvset
irf create `irfv', step(10) set(`irfvset', replace)
irf graph oirf, byopts(yrescale)
pvarirf, oirf porder($var) iter(100) dots step(10)
