Hello everyone! I am someone who does not know Stata or any other programming language at all and I have been dependent on CHAT-GPT for the codes. I am facing an issue while running a code. I have a panel data in the following structure:
The data in the image has a total of 15466 rows and there is data from 5 countries (France, Germany, UK, USA and Japan) I am trying to run a vector auto regression model on the above panel data with W_Excess_returns (winsorised excess returns), GDP growth, Inflation rate and Interest rate. What I want to do is see whether excess returns are explained by GDP growth, inflation rate and interest rates along with their lags to capture the lagging effect.
I ran a very basic code in stata using pvar, the code is below:
pvar W_Excess_returns GDP_growth Inflation_rate Interest_rate, lags (2) overid
the output for the hansen J test is provided below:
I have a few questions:
Thank you!
The data in the image has a total of 15466 rows and there is data from 5 countries (France, Germany, UK, USA and Japan) I am trying to run a vector auto regression model on the above panel data with W_Excess_returns (winsorised excess returns), GDP growth, Inflation rate and Interest rate. What I want to do is see whether excess returns are explained by GDP growth, inflation rate and interest rates along with their lags to capture the lagging effect.
I ran a very basic code in stata using pvar, the code is below:
pvar W_Excess_returns GDP_growth Inflation_rate Interest_rate, lags (2) overid
the output for the hansen J test is provided below:
I have a few questions:
- Is my code correct? I think it looks fine but not sure. if not what is the correct code?
- Is the output correct considering the results of the hansen test?
- How do I fix the Hansen test results?
- How do I improve the code? Is it even possible?
Thank you!
