Econometric Analysis II Wednesday October 14 13:20:41 2020 Page 1

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Statistics/Data Analysis

User: Pulak Mishra

Project: VAR

1 . tsset time, yearly

time variable: time, 1 to 57 Setting the data as time-series
delta: 1 year

2 . varsoc save_con gdp_con Selection of lag length for the VAR model

Selection-order criteria
Sample: 5 - 57 Number of obs = 53

lag LL LR df p FPE AIC HQIC SBIC

0 -1396.4 2.8e+20 52.7698 52.7984 52.8442

1 -1184.77 423.26 4 0.000 1.1e+17* 44.9348* 45.0206* 45.1578*
2 -1182.58 4.3845 4 0.356 1.2e+17 45.003 45.146 45.3748
3 -1180.95 3.2541 4 0.516 1.3e+17 45.0925 45.2927 45.613
4 -1173.7 14.51* 4 0.006 1.2e+17 44.9697 45.227 45.6389

Endogenous: save_con gdp_con

Exogenous: _cons

3 . var save_con gdp_con, lags(1) Estimating of VAR model

Vector autoregression

Sample: 2 - 57 No. of obs = 56

Log likelihood = -1249.014 AIC = 44.82192
FPE = 1.00e+17 HQIC = 44.90605
Det(Sigma_ml) = 8.09e+16 SBIC = 45.03892

Equation Parms RMSE R-sq chi2 P>chi2

save_con 3 14240.7 0.9944 9979.816 0.0000

gdp_con 3 22820.9 0.9989 50390.01 0.0000

Coef. Std. Err. z P>|z| [95% Conf. Interval]

save_con
save_con
L1. .9481241 .0758535 12.50 0.000 .7994539 1.096794

gdp_con
L1. .040363 .0208183 1.94 0.053 -.0004402 .0811662

_cons -12909.27 6617.054 -1.95 0.051 -25878.46 59.91758

gdp_con
save_con
L1. .3144877 .1215568 2.59 0.010 .0762407 .5527347

gdp_con
L1. .9955684 .0333618 29.84 0.000 .9301804 1.060956

_cons 3565.758 10603.97 0.34 0.737 -17217.63 24349.15

 Econometric Analysis II Wednesday October 14 13:20:41 2020 Page 2

4 . varbasic save_con gdp_con, lags(1) Estimation of VAR model with impulse response functions

Vector autoregression

Sample: 2 - 57 No. of obs = 56

Log likelihood = -1249.014 AIC = 44.82192
FPE = 1.00e+17 HQIC = 44.90605
Det(Sigma_ml) = 8.09e+16 SBIC = 45.03892

Equation Parms RMSE R-sq chi2 P>chi2

save_con 3 14240.7 0.9944 9979.816 0.0000

gdp_con 3 22820.9 0.9989 50390.01 0.0000

Coef. Std. Err. z P>|z| [95% Conf. Interval]

save_con
save_con
L1. .9481241 .0758535 12.50 0.000 .7994539 1.096794

gdp_con
L1. .040363 .0208183 1.94 0.053 -.0004402 .0811662

_cons -12909.27 6617.054 -1.95 0.051 -25878.46 59.91758

gdp_con
save_con
L1. .3144877 .1215568 2.59 0.010 .0762407 .5527347

gdp_con
L1. .9955684 .0333618 29.84 0.000 .9301804 1.060956

_cons 3565.758 10603.97 0.34 0.737 -17217.63 24349.15

5 . irf graph oirf, impulse(gdp_con) response(save_con) Impulse response function with 'gdp_con' as impulse and
'save_con' as response
6 . varbasic gdp_con save_con, lags(1) Estimation of VAR model with impulse response functions (changing order of
variables)
Vector autoregression

Sample: 2 - 57 No. of obs = 56

Log likelihood = -1249.014 AIC = 44.82192
FPE = 1.00e+17 HQIC = 44.90605
Det(Sigma_ml) = 8.09e+16 SBIC = 45.03892

Equation Parms RMSE R-sq chi2 P>chi2

gdp_con 3 22820.9 0.9989 50390.01 0.0000

save_con 3 14240.7 0.9944 9979.816 0.0000

Coef. Std. Err. z P>|z| [95% Conf. Interval]

gdp_con
gdp_con
L1. .9955684 .0333618 29.84 0.000 .9301804 1.060956

save_con
L1. .3144877 .1215568 2.59 0.010 .0762407 .5527347

_cons 3565.758 10603.97 0.34 0.737 -17217.63 24349.15

save_con
 Econometric Analysis II Wednesday October 14 13:20:41 2020 Page 3

gdp_con
L1. .040363 .0208183 1.94 0.053 -.0004402 .0811662

save_con
L1. .9481241 .0758535 12.50 0.000 .7994539 1.096794

_cons -12909.27 6617.054 -1.95 0.051 -25878.46 59.91758

7 . varstable Testing for stability

Eigenvalue stability condition

Eigenvalue Modulus

1.086983 1.08698
.8567098 .85671

At least one eigenvalue is at least 1.0.

VAR does not satisfy stability condition. No stability

8 . varlmar, mlag(1) Testing for autocorrelation at lag order 1

Lagrange-multiplier test

lag chi2 df Prob > chi2

No autocorrelation
1 4.2167 4 0.37747

H0: no autocorrelation at lag order

9 . varlmar Testing for autocorrelation at higher lag order

Lagrange-multiplier test

lag chi2 df Prob > chi2

1 4.2167 4 0.37747 No autocorrelation

2 1.4250 4 0.83983

H0: no autocorrelation at lag order

10 .