## How to test and diagnose VECM in STATA?

By Divya Dhuria and Priya Chetty on October 4, 2018

This article explains testing and diagnosing VECM in STATA to ascertain whether this model is correct or not. Among diagnostic tests, common ones are tested for autocorrelation and test for normality.

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## VECM in STATA for two cointegrating equations

By Divya Dhuria and Priya Chetty on September 27, 2018

Unrestricted Vector Auto Regression (VAR) is not applicable in such cases. Vector Error Correction Model (VECM) is a special case of VAR which takes into account the cointegrating relations among the variables.

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## How to perform Johansen cointegration test in VAR with three variables?

By Divya Dhuria and Priya Chetty on September 27, 2018

The previous article showed lag selection and stationarity for Vector Auto Regression (VAR) with three variables; Gross Domestic Product (GDP), Gross Fixed Capital Formation (GFC) and Private Final Consumption (PFC). This article shows the co-integration test for VAR with three variables.

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## Lag selection and cointegration test in VAR with two variables

By Divya Dhuria and Priya Chetty on September 27, 2018

The previous article showed that the three-time series values Gross Domestic Product (GDP), Gross Fixed Capital Formation (GFC) and Private Final Consumption (PFC) are non-stationary. Therefore they may have long-term causality. The general assumption, in this case, is that consumption PFC affects GDP, therefore these variables might be cointegrated.

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## How to perform regression analysis using VAR in STATA?

By Priya Chetty and Saptarshi Basu Roy Choudhury on September 26, 2018

In multivariate time series, the prominent method of regression analysis is Vector Auto-Regression (VAR). It is important to understand VAR for more clarity.

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## How to perform Johansen cointegration test?

By Divya Dhuria and Priya Chetty on September 18, 2018

To test cointegration, Johansen cointegration test is widely used which determines the number of independent linear combinations (k) for (m) time series variables set that yields a stationary process. The test gives the rank of cointegration.

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## How to predict and forecast using ARIMA in STATA?

By Priya Chetty on April 29, 2018

After performing Autoregressive Integrated Moving Average (ARIMA) modelling in the previous article: ARIMA modeling for time series analysis in STATA, the time series GDP can be modelled through ARIMA (9, 2, 1) .

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## ARIMA modeling for time series analysis in STATA

By Priya Chetty and Divya Dhuria on March 20, 2018

In the previous article, all possibilities for performing Autoregressive Integrated Moving Average (ARIMA) modeling for the time series GDP were identified as under. S. No ARIMA 1 (1,1,1) 2 (1,1,2) 3 (1,1,3) 4 (1,1,4) 5 (1,1,5) 6 (1,1,6) 7 (1,2,1) 8 (4,2,1) 9 (9,2,1)  Table 1: ARIMA models as per ACF and PACF graphs.

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