tag:blogger.com,1999:blog-2198942534740642384.comments2016-07-28T06:42:06.945-07:00Econometrics Beat: Dave Giles' BlogDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger3407125tag:blogger.com,1999:blog-2198942534740642384.post-54472038711748357012016-07-28T06:32:12.176-07:002016-07-28T06:32:12.176-07:00"I plan to illustrate the application of seas..."I plan to illustrate the application of seasonal unit root and cointegration tests in a future blog post." ....looking forward to itAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-37270524448354202412016-07-26T17:01:04.315-07:002016-07-26T17:01:04.315-07:00Thanks for sharingThanks for sharingUnknownhttp://www.blogger.com/profile/04905815734623694896noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-70472511033350219792016-07-25T17:45:22.648-07:002016-07-25T17:45:22.648-07:00Daniel - yes it does. If you square the t-statisti...Daniel - yes it does. If you square the t-statistic you just get the Wald statistic for the case of one restriction. Follow your intuition and ass lags. The statistical "cost" of including more lags than you should is far less than the "cost" of including too few lags.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-57430398590176807522016-07-25T17:35:49.315-07:002016-07-25T17:35:49.315-07:00Dear Professor,
You mention that "Don't ...Dear Professor,<br /><br />You mention that "Don't use t-tests to select the maximum lag for the VAR model - these test statistics won't even be asymptotically std. normal if the data are non-stationary, and there are also pre-testing issues that affect the true significance levels."<br /><br />Is this also valid for Wald tests for joint significance of lags?<br /><br />For the sake of curiosity, if standard selection criteria recommend using 0 lags but this <br />conflicts with one's economic intuition, how should one go about it? Do not estimate the VAR at all, or still apply one's intuition? <br /><br />Thank you so much for the excellent blog! It is a source of learning and inspiration?<br /><br />DanielDaniel Pintonoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-90936761658352157702016-07-25T12:37:02.971-07:002016-07-25T12:37:02.971-07:00Often, we can predict the X variables using an ARI...Often, we can predict the X variables using an ARIMA model.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-75904930619330284142016-07-25T07:09:42.700-07:002016-07-25T07:09:42.700-07:00Dear Dave,
Thanks for the insightful explanation!...Dear Dave,<br /><br />Thanks for the insightful explanation! Can you elaborate some other ways of x variables in the forecasting process other than "guess"? <br /><br />LeeAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-36262725795459393162016-07-23T05:16:49.752-07:002016-07-23T05:16:49.752-07:00very useful to understand the concept of consisten...very useful to understand the concept of consistencyDhanasekaran Kuppuswamihttp://www.blogger.com/profile/15038889931233353679noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-63185272653096384282016-07-21T07:50:11.215-07:002016-07-21T07:50:11.215-07:00You should not use the model. Almost certainly the...You should not use the model. Almost certainly the maximum lag lengths have been mis-specified.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-60983008168107324012016-07-21T06:35:30.719-07:002016-07-21T06:35:30.719-07:00Dear Professor Giles,
I have benefited greatly fo...Dear Professor Giles,<br /><br />I have benefited greatly form your blogs. THANK YOU! My question is related to the question above - if my model is great in every aspect (significant and correct signs) but the coefficient of CointEq(-1) is -1.56 (which is over-correcting), what do you think may be happening? What do you mean by "over correcting" and what may be causing it? Can I use that model still or would it be inappropriate to keep that model? <br />I look forward to your response. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-60173323548065345522016-07-13T00:15:54.399-07:002016-07-13T00:15:54.399-07:00..good work
..good work<br />Samuel Waiguruhttp://www.blogger.com/profile/13682091962586298809noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-87354841901181720582016-06-26T20:58:15.349-07:002016-06-26T20:58:15.349-07:00Hi, I am new to Panel VAR. I have balanced panel d...Hi, I am new to Panel VAR. I have balanced panel data for 10 years, 52 countries where I have one dependent variable and other 5 independent variables. I have already finished the panel regression estimation. As I want to do Panel Var estimation, shall I use all variables or use only those variables (2 or 3) on which I am more interested. for example, I am interested to see the impact of X2 and X3 on Y but I have other X1, X4 and X5 control variables. In doing Panel VAR shall I use all 6 variables or only Y X2 X3?<br /><br />Again, if one of my variable is non-stationary and others are stationary, what shall I do?<br /><br />Can anyone please help me? Subornohttp://www.blogger.com/profile/11265478885921619107noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-90169602942953989382016-06-22T11:32:41.928-07:002016-06-22T11:32:41.928-07:00You are using too many lags and/or too many regres...You are using too many lags and/or too many regressors. IN this respect an ARDL model is just like any other regression model.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-15655648329921093442016-06-22T11:21:21.833-07:002016-06-22T11:21:21.833-07:00HI Katherine - nothing changes in this situation. ...HI Katherine - nothing changes in this situation. The key thing is the log of the dependent variable.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-48380469755213723092016-06-22T11:18:37.987-07:002016-06-22T11:18:37.987-07:00That's right - if it's more negative than ...That's right - if it's more negative than -1 then the adjustement process is "over-correcting".Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-26822595267739699792016-06-22T11:16:10.825-07:002016-06-22T11:16:10.825-07:00Only the ones that have a break, but when it comes...Only the ones that have a break, but when it comes to cointegration testing in this situation yo'll need to allow for the break(s).Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-78352473755774877212016-06-22T10:37:21.227-07:002016-06-22T10:37:21.227-07:00Sir, that's a really useful post on Break Poin...Sir, that's a really useful post on Break Point test. <br />I have one query, if some of the variables in a regression equation are showing a structural break and some are not, should I use simple unit root test for the latter category or a break point test for all of them.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-56692382074770213742016-06-22T08:07:19.527-07:002016-06-22T08:07:19.527-07:00Dear Professor Giles,
Thank you for your fantasti...Dear Professor Giles,<br /><br />Thank you for your fantastic posts !<br /><br />I have a question regarding the “cointegrating form” of the model. If the coefficient of CointEq(-1) is negative but lower than -1, would the ECM between the two variables of interest still be validated ? Would it mean that there is no “stable” long-run relationships between the two variables?<br />According to the Engle & Granger and the Johansen methodologies, this coefficient must be negative but higher than -1<br /><br />Thank you so much for your reply<br /><br />Kind regards<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-91303824294140808712016-06-21T10:12:17.640-07:002016-06-21T10:12:17.640-07:00Sorry for a stupid question, but what if we have a...Sorry for a stupid question, but what if we have a mixed log level model<br />let's say, log(y)=b0+b1*log(x1)+b2*x2+b3*log(x3), how do you forecast then?Katherine Nicanorovahttp://www.blogger.com/profile/06183649660347981639noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-41474193401323840552016-06-21T07:38:58.917-07:002016-06-21T07:38:58.917-07:00Hello proffesor, in trying to run cointegration te...Hello proffesor, in trying to run cointegration test in eviews 7 (my data are on gdp, cpi, personal consumption expenditure, exchange rate and intrest rate) I get a message that says 'Near Singular Matrix'. My time series data spans 31 years. What can I do about this? Thank you.<br />Patrick Onodjehttp://www.blogger.com/profile/10754363914893547654noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-32748788113175395872016-06-18T18:36:35.438-07:002016-06-18T18:36:35.438-07:00It's just like any other regression model. You...It's just like any other regression model. You're trying to use too many lags relative to the sample size.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-8201758274299450782016-06-18T08:10:40.464-07:002016-06-18T08:10:40.464-07:00Dear Sir,
I run the ARDL model and face the "...Dear Sir,<br /><br />I run the ARDL model and face the "singular matrix" error. How can i solve this?Bích Ly Lêhttp://www.blogger.com/profile/03198163453693374031noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-45725741819741964572016-06-18T06:01:24.490-07:002016-06-18T06:01:24.490-07:00There's no "canned" routine for this...There's no "canned" routine for this in EViews so you'll have to write some code. Also, check the EViews forum at eviews.comDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-59964029512420018812016-06-18T04:22:46.315-07:002016-06-18T04:22:46.315-07:00Nothing comes to mind - sorry.Nothing comes to mind - sorry.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-75827455622901756472016-06-17T09:57:13.086-07:002016-06-17T09:57:13.086-07:00Hi Dave,
Are you aware of any software procedures ...Hi Dave,<br />Are you aware of any software procedures (codes) that perform seasonal cointegration test for monthly data?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-19574886168267788332016-06-15T23:50:55.340-07:002016-06-15T23:50:55.340-07:00dear professor,
thank you very muc...dear professor,<br /> thank you very much for your post i am working with panel data in eviews 9 as i have done with the ardl but please help me whether it is possible to test the ardl bound test for panel data in eviews vijay modihttp://www.blogger.com/profile/12996924290698932043noreply@blogger.com