Hello all,
I want to extract the lowest lag from AIC using the -varsoc- command. I then want to use this lowest lag to insert into my Dickey-Fuller equation for multiple ID’s. Please note that each ID may have a different minimum lag value. After the -dfuller- command, I want to put the -lags()- option and insert the correct number of lags based on the lowest AIC. My data is below:
I would appreciate any help!
Anoush
I want to extract the lowest lag from AIC using the -varsoc- command. I then want to use this lowest lag to insert into my Dickey-Fuller equation for multiple ID’s. Please note that each ID may have a different minimum lag value. After the -dfuller- command, I want to put the -lags()- option and insert the correct number of lags based on the lowest AIC. My data is below:
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input long ID double(time miles cars stops) 1 162 5 40 27 1 163 7 42 32 1 164 7 43 41 1 165 2 47 48 2 162 10 71 39 2 163 11 73 42 2 164 9 78 58 2 165 6 82 61 end format %tq time varsoc sqft cars stops dfuller sqft
Anoush
