tag:blogger.com,1999:blog-2198942534740642384.comments2014-10-24T23:07:41.559-07:00Econometrics Beat: Dave Giles' BlogDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger2420125tag:blogger.com,1999:blog-2198942534740642384.post-70684608492528381422014-10-24T15:10:21.650-07:002014-10-24T15:10:21.650-07:00
Dear Prof. Dave,
I run a similar model but for a...<br /><br />Dear Prof. Dave,<br />I run a similar model but for a different country, I got a negative sign for gamma, how should I explain this result? Is it possible acording to the theory?<br />Thank you very much<br />MartMartín Palmerohttp://www.blogger.com/profile/10229658213998381626noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-67177660398419867852014-10-21T00:40:57.707-07:002014-10-21T00:40:57.707-07:00Dear Sir,
I am Manoranjan Sahoo from India, doing ...Dear Sir,<br />I am Manoranjan Sahoo from India, doing PhD at Indian Institute of Technology Madras (IITM). I was searching a good material to understand the Granger non-causality test. I read your blog and it helps me a lot to have a clear idea about the method. <br />Thanks a lot Prof for your kind help towards the researchers of the globe. I will be very much happy to interact with you in future.<br />Regards<br />ManoranjanMANORANJAN SAHOOhttp://www.blogger.com/profile/16893361159527066777noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-61791819386217638972014-10-18T13:52:46.584-07:002014-10-18T13:52:46.584-07:00Hi,
Thanks for this very helpful entry. In my cl...Hi, <br /><br />Thanks for this very helpful entry. In my class I also use a similar MC experiment to demonstrate the consistency of the OLS estimator of the AR(1) process. I use STATA and I thought it may be helpful for those are interested in STATA programming. So here is the code with the same DGP and parameter values. (PS: I admit that there may be more elegant ways of coding this :))<br /><br />// Consistency of OLS estimator of AR(1) model<br /><br />clear<br />capt prog drop arols<br />program arols, rclass<br /> version 12<br /> syntax [, N(int 50), burnin(int 100)]<br /> drop _all<br /> set obs `n'<br /> gen double u = -1 + 2*runiform() // random error, from U(-1,1) <br /> gen y = 0<br /> replace y = 1 + 0.5*y[_n-1] + u in 2/`n'<br /> drop in 1/`burnin'<br /> gen t = _n<br /> tsset t <br /> reg y l.y<br /> ret sca b1 =_b[_cons]<br /> ret sca b2 =_b[l.y]<br />end<br /><br />graph drop _all<br />glo numsim = 5000<br />local burnin = 200<br />foreach T of numlist 20 100 250 1000 5000 {<br />local n = `burnin' + `T'<br />simulate ARpar`T'=r(b2), ///<br /> reps($numsim) saving(OLSMC`T', replace) nolegend nodots: ///<br /> arols, n(`n') burnin(`burnin') <br /> hist ARpar`T', normal name(n`T') title("AR(1) Parameter: n=`T'")<br />}<br />clear<br />use OLSMC20<br />foreach T of numlist 100 250 1000 5000{<br />merge using OLSMC`T'<br />drop _merge<br />}<br />sum<br />tw (kdensity ARpar20) (kdensity ARpar100) (kdensity ARpar250) (kdensity ARpar1000) (kdensity ARpar5000)<br /><br /><br />The code above draws the kernel density estimates similar to the last graph in your post. Also here are the summary statistics: <br /><br /><br /> Variable | Obs Mean Std. Dev. Min Max<br />-------------+--------------------------------------------------------<br /> ARpar20 | 5000 .371518 .2144403 -.5469691 .9904804<br /> ARpar100 | 5000 .4751635 .0893891 .0822227 .7326534<br /> ARpar250 | 5000 .4906103 .0546967 .2765988 .6818358<br /> ARpar1000 | 5000 .4973098 .0272844 .3987602 .5796224<br /> ARpar5000 | 5000 .4998611 .0121114 .4362852 .5412318<br />Huseyin Tastanhttp://www.blogger.com/profile/15251712552217454351noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-51673143423599857382014-10-16T10:40:13.342-07:002014-10-16T10:40:13.342-07:00Bob - I believe you're right.Bob - I believe you're right.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-48401315196398865462014-10-16T10:38:59.321-07:002014-10-16T10:38:59.321-07:00I think that the Moore Penrose 'solution' ...I think that the Moore Penrose 'solution' in a dummy variable representation of a categorical variable is for the sum of the dummies to equal the 'intercept' - C in Eviews. Is that correct? Proof? Interesting - the ANOVA usually is that the sum is the negative of 'C' or the sum of all the coefficients=0. Bob Parks, WU St Louis<br /><br />Example (Studenmund 6th ed. pgs 76-88 Woody example)<br /><br />Var MPenrose exclude<br />C 43995.72 18415.63<br />P 0.35 0.35<br />I 1.54 1.54<br />N2 40010.90 65590.99<br />N3 26438.20 52018.29<br />N4 14481.10 40061.19<br />N5 -1899.02 23681.07<br />N6 4917.72 30497.81<br />N7 -12033.12 13546.97<br />N8 -2339.97 23240.12<br />N9 -25580.09 <br />Sum N2 to N9 = 43995.72<br />Bob Parkshttp://www.blogger.com/profile/01781425065479168501noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-63067825896828401552014-10-13T12:48:44.081-07:002014-10-13T12:48:44.081-07:00If you mean more negative than -1, then the short-...If you mean more negative than -1, then the short-run dynamics are "over-compensating". Realistic?Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-31924556094278083402014-10-13T08:26:05.275-07:002014-10-13T08:26:05.275-07:00Hi Dave,
How about coefficient of error correctio...Hi Dave, <br />How about coefficient of error correction term that does not fall between 0 and -1, what does that imply?John Guanhttp://www.blogger.com/profile/07174355389300993511noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-91667215767010858862014-10-12T04:42:24.983-07:002014-10-12T04:42:24.983-07:00Thanks for the post!
Thanks for the post!<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-16563922002548407772014-10-11T09:14:26.297-07:002014-10-11T09:14:26.297-07:00Thanks. Sounds like T-Y would be appropriate.Thanks. Sounds like T-Y would be appropriate.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-18718406947871436672014-10-11T09:12:29.932-07:002014-10-11T09:12:29.932-07:00Dear Dave Giles! Really great post. I have seven v...Dear Dave Giles! Really great post. I have seven variables with dep. variable of I(1) , one indep. variable of I(0) and is I(2) but the rest are of I(1) . I want to find the causality between Human capital and economic growth, what do you suggest in this case which causality test I apply i.e Granger causality, T-Y or any other tool for it. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-52900891001846851052014-10-10T09:46:12.621-07:002014-10-10T09:46:12.621-07:00Why on earth don't you contact the author of t...Why on earth don't you contact the author of the add-in, or the people at EVIEWS?!?!?!?! I don't work for them.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-22650540876133727942014-10-10T07:53:31.091-07:002014-10-10T07:53:31.091-07:00need help asap
am using Eview 7 i installed the RT...need help asap<br />am using Eview 7 i installed the RTADF add ins but they dnt work ! something about registration and IHS name or somethng !!! Plz how can i get them on my PC asap ! i really need this for my theises mariamhttp://www.blogger.com/profile/14621605197148662962noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-47638700953481365052014-10-10T06:01:56.187-07:002014-10-10T06:01:56.187-07:00Hi,
I would like to study the impact the advertis...Hi, <br />I would like to study the impact the advertising of a product on its sales (weekly data for 5 years).<br />The final aim is to forecast what would be the impact on sales of a change in the advertising spending. I was considering including also other variables (such as competitors prices, macroeconomics variables,…) <br />As I know that advertising has a long lasting effect and that, for example, at time t I would be only able to know prices at t-1 I need to include lags.<br />Would ARIMAX model be appropriate? ARDL?<br /><br /> Thank you.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-18339155422450729152014-10-09T19:47:23.529-07:002014-10-09T19:47:23.529-07:00Reinhart and Rogoff should have been a wake up cal...Reinhart and Rogoff should have been a wake up call, for those who had not already figured this out. Serious calculations deserve serious data structures and serious algorithms, in the worst case if only to confirm the convenient numbers blurted out by the spreadsheets.<br />Horace Boothroyd IIInoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-78722264121609733332014-10-08T01:55:58.681-07:002014-10-08T01:55:58.681-07:00Hi Dave,
I remember this issue is also discussed ...Hi Dave, <br />I remember this issue is also discussed in the introductory text of Enders. If I remember correctly it is also one of the very few sources addressing the issue that you do not know a priori whether deterministic components are present. Hence you have to (F-)test, right? Ticking a box in EViews, however, is based on the heroic assumption that the only thing we need to know is whether a unit root is present.<br />Kind regards,<br />HarryAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-52193737981010723732014-10-01T06:48:01.129-07:002014-10-01T06:48:01.129-07:00Thank you so much for prompt reply.Thank you so much for prompt reply.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-16106071833440762572014-09-30T22:57:51.469-07:002014-09-30T22:57:51.469-07:00Well, due to this specific procedure, I agree and ...Well, due to this specific procedure, I agree and I think it is nice to see that the procedure works. My point is just that a statistical package could estimate the model without the multicollinear variable, save the set of coefficients, then add the multicollinear variable, assign some arbitrary coefficient to it and adjust the the other coefficients accordingly given the results from the full-rank estimation. For meaningful interpretation, it must be done what you did in the last three bullet points anyway.Martin Sandersnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-65160328295650135422014-09-30T11:33:37.876-07:002014-09-30T11:33:37.876-07:00You need at least 2 I(2) variables for Haldrup'...You need at least 2 I(2) variables for Haldrup's results.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-44153519798768055922014-09-30T10:53:49.116-07:002014-09-30T10:53:49.116-07:00Once you've fitted the model, select "Vie...Once you've fitted the model, select "View", "ARMA Structure", "Roots", Graph".<br />This is all in "HELP".Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-63696096346969972812014-09-30T08:47:48.138-07:002014-09-30T08:47:48.138-07:00THey're unique if you are using the Moore-Penr...THey're unique if you are using the Moore-Penrose inverse.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-81919686789957931532014-09-30T05:43:26.230-07:002014-09-30T05:43:26.230-07:00Dear Prof. Giles,
Thanks for useful information. C...Dear Prof. Giles,<br />Thanks for useful information. Can you please give the procedure how inverse roots of AR/MA polynomials can be obtained and graphed in Eviews software ? I really appreciate your help.<br />Thanks.<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-3703707225441583392014-09-29T22:51:24.406-07:002014-09-29T22:51:24.406-07:00Very, very interesting, Prof. Giles, thank you. Th...Very, very interesting, Prof. Giles, thank you. Though I think the use for interpretation is somewhat limited as it seems to me that the estimate for $\beta_{3}$ could be any number as long as the other two betas are "adjusted" accordingly. I will take a look in Searle, however.Martin Sandersnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-47958511160130769652014-09-28T12:12:51.949-07:002014-09-28T12:12:51.949-07:00No - you need to use Johansen's method for tha...No - you need to use Johansen's method for that.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-28036830856098600722014-09-28T12:11:05.947-07:002014-09-28T12:11:05.947-07:00isARDL also a multivariate method for testing Co-i...isARDL also a multivariate method for testing Co-integrating relationship. if k = 4 can it give us 3 CE? Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-31252006047056850862014-09-28T08:43:11.934-07:002014-09-28T08:43:11.934-07:00Estimate a 6-equation VAR model in the levels of t...Estimate a 6-equation VAR model in the levels of the data and just use the usual Wald test. There is no need to use the modified test.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.com