tag:blogger.com,1999:blog-2198942534740642384.comments2016-12-02T06:28:15.960-08:00Econometrics Beat: Dave Giles' BlogDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger3531125tag:blogger.com,1999:blog-2198942534740642384.post-5796046046942856062016-11-29T23:33:49.676-08:002016-11-29T23:33:49.676-08:00Dear Sir, I have a question on the lag order for t...Dear Sir, I have a question on the lag order for the Johansen cointegration test. To test for Johansen cointegration in a VAR setup, we have to feed the number of lags. Suppose VAR suggests 4 lags. At this lag of 4, AR roots lie outside the unit circle and there's also autocorrelation. For the number of lags to be entered in Johansen test, is it necessary that VAR should not have autocorrelation and be dynamically stable?<br /><br />Many thanks for your kind help. Regards, PandaPandanoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-37949766130834365702016-11-29T13:27:57.240-08:002016-11-29T13:27:57.240-08:00Thank you Sir. Looking forward to your HEGY post.Thank you Sir. Looking forward to your HEGY post.Santosh Dashhttp://www.blogger.com/profile/02016226999263087762noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-36791696695362964492016-11-29T13:13:53.522-08:002016-11-29T13:13:53.522-08:00If you're working with the levels of the data ...If you're working with the levels of the data and get that result from HEGY , then the appropriate filter is Y(t)-Y(t-4). Just as with the ADF test you can transform the data and then apply HEGY to check for higher-order unit roots. I have a post in draft form on HEGY but it will be a while before it gets posted. Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-16529124325474885512016-11-29T12:53:01.644-08:002016-11-29T12:53:01.644-08:00Thank you for your reply. If HEGY test does NOT re...Thank you for your reply. If HEGY test does NOT reject both non-seasonal root and seasonal root, we will conclude that there are non-seasonal and seasonal unit roots. But the HEGY test does not say the order of integration of non-seasonal root. It might be I(2) also. Further, how to make data non-seasonal stationary and seasonal stationary? Thus, itâ€™s a request that if you can write for your numerous readers how to handle both non-seasonal root and seasonal root, it would surely benefit them.<br />Santosh Dashhttp://www.blogger.com/profile/02016226999263087762noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-71908987870253474422016-11-29T07:53:55.619-08:002016-11-29T07:53:55.619-08:00You should raise this on one of the Stata user gro...You should raise this on one of the Stata user groups, not here.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-39150373501539170302016-11-29T07:49:37.028-08:002016-11-29T07:49:37.028-08:00There's no simple answer to this. Different ty...There's no simple answer to this. Different types of models are used for different purposes.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-44401408641321915632016-11-29T07:48:57.085-08:002016-11-29T07:48:57.085-08:00No. It all depends at what frequencies the seasona...No. It all depends at what frequencies the seasonal unit roots occur. First-differencing will only eliminate a unit root at the "zero frequency", but not at the "pi", "pi/2", or "3*pi/2" frequencies. These require different frequencies. Fourth-differencing of the series will be appropriate only if there are unit roots at all of the above frequencies.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-68904851503246599512016-11-29T05:19:06.148-08:002016-11-29T05:19:06.148-08:00Good Day Professor.
Thank you for dedicating your ...Good Day Professor.<br />Thank you for dedicating your valuable time to post and respond to various questions by your esteemed followers.<br />I have a question Prof. but it sounds elementary, this is due to my knowledge on econometrics.<br />My question is that, Which among ARDL model and VAR model is more superior? I was working on VAR model, but now want to change to ARDL model, if possible.<br />Thanks, in anticipation for your kind response.Miftahunoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-10572140659576883872016-11-29T03:17:55.717-08:002016-11-29T03:17:55.717-08:00Dear Prof. Giles,
Quarterly data are prone to seas...Dear Prof. Giles,<br />Quarterly data are prone to seasonality. In addition to standard unit root problem they might have seasonal unit root also. How to take care of "both" unit roots? Does taking care of seasonal unit root also take care of standard unit root (since it involves differencing)?<br /><br />Thanking you.Santosh Dashhttp://www.blogger.com/profile/02016226999263087762noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-19224012841977789852016-11-28T09:44:47.588-08:002016-11-28T09:44:47.588-08:00How would you perform these tests on STATA? Specia...How would you perform these tests on STATA? Specially the GSADF. Thank you very much.Ignacio Guzmanhttp://www.blogger.com/profile/18286045204059218254noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-51536996619309086792016-11-26T05:02:17.111-08:002016-11-26T05:02:17.111-08:00You should be able to resolve this by increasing t...You should be able to resolve this by increasing the maximum lag length for the dependent variable.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-54926077098853770992016-11-26T02:16:01.875-08:002016-11-26T02:16:01.875-08:00Respected Sir!If I am facing serial correlation in...Respected Sir!If I am facing serial correlation in residual of regression output. What should I do pls?<br />Muhammad Ajmai<br /> Unknownhttp://www.blogger.com/profile/18206273020340636068noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-68183403760000167322016-11-25T03:01:00.443-08:002016-11-25T03:01:00.443-08:00Hi everyone,
What do the terms "long run&qu...Hi everyone, <br /><br />What do the terms "long run" and "short run" associated with cointegration and Granger's causality analyses, respectively, mean? Could it be days or weeks?<br />In other words, when we say that two variables share a long run equilibrium relationship, what does "long run " mean in practice? <br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-68748482165647272182016-11-18T11:02:53.930-08:002016-11-18T11:02:53.930-08:00Stephen - thank you! Fixed.
DGStephen - thank you! Fixed.<br /><br />DGDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-76856315263382954702016-11-18T10:45:21.562-08:002016-11-18T10:45:21.562-08:00Paul Nahin is an electrical engineer...Paul Nahin is an electrical engineer...Stephen Bridgeshttp://www.blogger.com/profile/15240085872080399759noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-90925095419045545812016-11-18T07:10:00.377-08:002016-11-18T07:10:00.377-08:00When my grandfather died in college I didn't n...When my grandfather died in college I didn't need to tell any of my teachers because I didn't need to study for exams that weekend. Johnhttp://www.blogger.com/profile/01457388998903348000noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-88693664162144601682016-11-18T05:58:15.707-08:002016-11-18T05:58:15.707-08:00Dene - you should be able to resolve this by addin...Dene - you should be able to resolve this by adding one or more ADDITIONAL lags of the dependent variable you're using in the ARDL model, beyond the max. number suggested by SIC or AIC.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-65146447274282832902016-11-18T05:52:16.939-08:002016-11-18T05:52:16.939-08:00If all of the variables are I(1) AND they are coin...If all of the variables are I(1) AND they are cointgrated then you could use this "old fashioned" ARDL model for forecasting legitimately. But not if the AREN'T cointegrated. That's true for ANY OLS regression. Also - see the links at the end of this post to "modern" ARDL modelling.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-24631206398761585682016-11-18T05:38:03.260-08:002016-11-18T05:38:03.260-08:00My pricipal focus is forcasting. you have written ...My pricipal focus is forcasting. you have written above that, if there is a co-integrating relationship, you can estimate an ARDL. <br />as i understand , the ardl that we estimate is nothing but an OLS with lags of the variables involved. <br /><br />So, My question to you is can the models in levels with lagged variables be used for forecasting? <br /><br />this is especially important since the variables are non-stationary and hence, running ols wont be valid according to my knowledge.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-82340468439655463792016-11-17T20:09:09.927-08:002016-11-17T20:09:09.927-08:00I have more than three periods. For example, 1980,...I have more than three periods. For example, 1980, 1981, 1982, and 1983.<br />I have six groups: A, B, C, D, E, F. I want to check the effectiveness of minimum drinking age. For example, group A has 16 years in before and after the policy. Group B increases the age from 16 to 17. Group C increases the age from 16 to 18. Group D has changed the age at 17. Group E increases the age from 17 to 18. Group F has 18 years before and after the policy.<br /><br />The data is panel data.<br />Is there anyone who can help me to design the DID model in such case?<br />How many treatment effects I need to find?<br /><br />Thanks in advanced.<br />Rahman Forhadhttp://www.blogger.com/profile/01757942839453579327noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-45943059746649243522016-11-17T19:34:42.165-08:002016-11-17T19:34:42.165-08:00Dear Professor Giles,
Your posts have been tremend...Dear Professor Giles,<br />Your posts have been tremendous help! I found serial correlation and am not sure how to resolve them before going on to Bounds test. Any suggestion, please? Thanks.Dene Hurleyhttp://www.blogger.com/profile/11494916737265256100noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-81043277326614442912016-11-16T07:48:17.351-08:002016-11-16T07:48:17.351-08:00As in any error-correction model, it tells you the...As in any error-correction model, it tells you the speed of adjustment from a short-run out-of-equilibrium position to the long-run equilibriumDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-8196731859179823982016-11-16T07:46:15.498-08:002016-11-16T07:46:15.498-08:00Yes, it does suggest that.Yes, it does suggest that.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-4444602000424025582016-11-16T01:22:42.067-08:002016-11-16T01:22:42.067-08:00Professor,
The size of the ECM term should lie bet...Professor,<br />The size of the ECM term should lie between 0 and -1. Can ECM term be lower than -1? How to interpret a value lower than -1? Does it suggest that something wrong with the model? <br />Any help? <br />Thank you in advance.<br /><br />SitakantaAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-88802110894145287782016-11-15T23:17:01.036-08:002016-11-15T23:17:01.036-08:00Dear Professor,
Thank you very much for the excell...Dear Professor,<br />Thank you very much for the excellent blog post. This is very useful. I'm testing ARDL for the first time. I got the results for the bounds test and long run coefficients. However I have a question on ECM. According to you error correction coefficient is Coint(-1) taken from the long run form. How can I interpret it? udari niranjalahttp://www.blogger.com/profile/06493962202703315796noreply@blogger.com