tag:blogger.com,1999:blog-2198942534740642384.comments2016-09-27T16:13:56.053-07:00Econometrics Beat: Dave Giles' BlogDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger3458125tag:blogger.com,1999:blog-2198942534740642384.post-25424577398568270712016-09-27T12:12:42.667-07:002016-09-27T12:12:42.667-07:00Brian - thanks very much. Fixed. DGBrian - thanks very much. Fixed. DGDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-43690413250702095852016-09-27T06:05:46.858-07:002016-09-27T06:05:46.858-07:00The post applies to both situations.The post applies to both situations.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-26852519522314784192016-09-27T05:55:02.217-07:002016-09-27T05:55:02.217-07:00NoNoDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-62992382305616265142016-09-27T02:38:59.576-07:002016-09-27T02:38:59.576-07:00sir, is normality test necessary for ARDL MODEL?
sir, is normality test necessary for ARDL MODEL?<br />sudip chaudharyhttp://www.blogger.com/profile/03617835587097648812noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-43982650811815754152016-09-27T01:37:07.833-07:002016-09-27T01:37:07.833-07:00Dear Professor,
My variables are trend-stationary....Dear Professor,<br />My variables are trend-stationary. So, without differencing I can do OLS. I can do it in two ways. (1) I will detrend the data, and estimate the model. (2) I will retain the trend-stationary variables in the model but add a trend term. <br />Sir, kindly tell which is the best option. <br />Thank you.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-23691305694272000002016-09-26T10:27:56.828-07:002016-09-26T10:27:56.828-07:00Dear Prof. Giles
How can change your post if cons...Dear Prof. Giles<br /><br />How can change your post if considered the paper of Sims, Stock and Watson of 1990 over the level estimation in time series? There they include VAR example only. In an univariate model it is possiblity?<br /><br />Thanks,<br /><br />Paúl CarrilloPaul A. Carrillohttp://www.blogger.com/profile/00764441366587185114noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-89248966424508174602016-09-25T10:12:01.107-07:002016-09-25T10:12:01.107-07:00I want to estimate the effect of monetary policy o...I want to estimate the effect of monetary policy on dis-aggregate consumer price index (CPI) using VAR model, is it possible to estimate VAR model for dis-aggregate data?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-30185834360379219412016-09-23T06:34:00.088-07:002016-09-23T06:34:00.088-07:00From the information you've given, that sounds...From the information you've given, that sounds fine, as long as the breaks are only in the levels of the series, and not in the trends.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-38123076110535203752016-09-23T03:38:28.173-07:002016-09-23T03:38:28.173-07:00I am estimating a VAR and I have identified 5 stru...I am estimating a VAR and I have identified 5 structural breaks in one of the series. I have decided to introduce 5 dummy variables, each dummy taking the value of 0 prior to the break date, and 1 after the break had occurred to the last date of the series. I want to ask if this is the right approach to dealing with multiple structural breaks in a series using dummies.<br />Thank you Mutawakil Zankawa Mumunihttp://www.blogger.com/profile/15658280362325534533noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-61565513623542389322016-09-22T16:09:45.136-07:002016-09-22T16:09:45.136-07:00Thank you for this post! However I believe there i...Thank you for this post! However I believe there is a small (but important!) typo in equation (3). It currently reads:<br /><br /><br /> yt** = exp{[log(yt)]* + (1 / n)Σ(exp(et))}<br /><br />Based on the Duan paper, I believe it should read,<br /><br /> yt** = exp{[log(yt)]*}*(1 / n)Σ(exp(et)),<br /><br />or equivalently, <br /><br /> yt** = exp{[log(yt)]* + log((1 / n)Σ(exp(et)))}<br /><br />As it is currently written, it is similar to adding 1 to log(yt) before exponentiating it, effectively doubling our predicted yt (roughly speaking). This is because the et's will on average be close to zero, so the average exp(et) will be something similar to 1. This is clearly not what we want to do.Brian Prestnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-48973845413081785402016-09-22T00:11:24.330-07:002016-09-22T00:11:24.330-07:00Dear Dave,
are you going to go over the non-linear...Dear Dave,<br />are you going to go over the non-linear ARDL? I think this is an important topic that needs your great feedback and great explanation.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-2913362401538899592016-09-20T19:58:39.748-07:002016-09-20T19:58:39.748-07:00Unless it was deliberate.Unless it was deliberate.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-47774594542866357812016-09-20T06:52:29.513-07:002016-09-20T06:52:29.513-07:00No and I don't think I'm ever likely to!!...No and I don't think I'm ever likely to!!Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-79766135297715829362016-09-20T06:45:32.045-07:002016-09-20T06:45:32.045-07:00No, it's not - that will totally invalidate th...No, it's not - that will totally invalidate the ARDL/bounds testing procedure.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-21752067581177723352016-09-20T02:44:18.233-07:002016-09-20T02:44:18.233-07:00Dear Professor Giles,
Thank you for your fantasti...Dear Professor Giles,<br /><br />Thank you for your fantastic posts ! I don't want to use any lag of the dependent variable in my regression (its capturing most of the variations in the model). Is that possible? <br />Thanks Shagufta Shabbarhttp://www.blogger.com/profile/18089069547801357031noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-50675614995245872112016-09-19T21:30:54.051-07:002016-09-19T21:30:54.051-07:00Dear Prof. Dave,
Thank you for interesting inform...Dear Prof. Dave,<br /><br />Thank you for interesting information. Have you seen any paper for causal relationship bewween dummies?<br /><br />ThanksAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-19144038248329905942016-09-18T05:48:14.926-07:002016-09-18T05:48:14.926-07:00First thing - what's the objective of this res...First thing - what's the objective of this research??? That's crucial. Second -they're all I(1), but are there any cointegrating relations?Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-86710307757023507732016-09-17T22:24:24.699-07:002016-09-17T22:24:24.699-07:00Dear Sir,
I'm analyzing 3 time series, each...Dear Sir, <br /><br />I'm analyzing 3 time series, each one of them has 45 observations. They're I(1). Is it enough the number of observations in order to fit a VECM with them? Should I fit an ARDL model or another one instead of it in order to get the relationship between them? In advance, thank you very much for your help. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-26546880983376237442016-09-15T17:57:29.026-07:002016-09-15T17:57:29.026-07:00Mike - you should accept the HEGY result, for the ...Mike - you should accept the HEGY result, for the following reason. The ADF and KPSS tests are applied with no allowance for the possibility that there may be unit roots at seasonal frequencies. When the HEGY procedure is used to test for a unit root at the zero frequency, it is done in a context that allows for the possibility of seasonal unit roots (even though you didn`t find any in this case).Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-87877311907646081102016-09-15T16:10:52.213-07:002016-09-15T16:10:52.213-07:00Professor,
I have a series of quarterly data. Whe...Professor,<br /><br />I have a series of quarterly data. When I run a ADF and KPPS unit root tests the results reject a unit root and cannot reject stationary. When I run a HEGY test the results reject all seasonal roots but do not reject a non-seasonal root. Given the lack of seasonal roots should I accept that the series is stationary under the ADF and KPPS tests or accept the non-stationary HEGY result?<br /><br />Cheers<br /><br />Mike StoneAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-33697912760560095542016-09-15T05:21:45.899-07:002016-09-15T05:21:45.899-07:00Sky - nice to hear from you. Thanks for the pointe...Sky - nice to hear from you. Thanks for the pointer to this package in R.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-62212559309160662452016-09-14T17:06:29.106-07:002016-09-14T17:06:29.106-07:00Kailer - thanks very much for this. Great to hear ...Kailer - thanks very much for this. Great to hear from you!Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-91533418385663722052016-09-14T15:47:39.179-07:002016-09-14T15:47:39.179-07:00Hello David,
Long time no seen! Hope you are all ...Hello David,<br /><br />Long time no seen! Hope you are all well.<br /><br />I just found a toolkit/package in R program for extreme value analysis is quite useful. You may know it already. It is called In2extRemes, which contains point-and-click windows to do all kinds of analysis using extreme value theory and is very convenient to use. You can load it in R. Here is the developer's website for more information:<br />http://www.ral.ucar.edu/staff/ericg/extRemes/<br /><br />Have fun!<br /><br />Skywilliamhttp://www.blogger.com/profile/12937021712961536240noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-1564578254259660982016-09-14T13:37:29.522-07:002016-09-14T13:37:29.522-07:00Hello Professor! I thought I'd pass along this...Hello Professor! I thought I'd pass along this MOOC from the IMF on macroeconometric forecasting in eviews. This might be a good resource for your students or others looking to refresh their time series skills. https://www.edx.org/course/macroeconometric-forecasting-imfx-mfx Kailer Mullethttp://www.blogger.com/profile/18077588475487129146noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-68691645784342490552016-09-13T11:55:40.404-07:002016-09-13T11:55:40.404-07:00Whoops!!!!! :-) Fixed, thanks.Whoops!!!!! :-) Fixed, thanks.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.com