tag:blogger.com,1999:blog-2198942534740642384.comments2017-01-21T12:34:03.542-08:00Econometrics Beat: Dave Giles' BlogDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger3589125tag:blogger.com,1999:blog-2198942534740642384.post-65739435126227487032017-01-21T12:34:03.542-08:002017-01-21T12:34:03.542-08:00Faisal no, you can't do this with an ARDL mod...Faisal no, you can't do this with an ARDL model. You need to use a VAR model with your I(1) variable first-differences, and the other variables in levels. (You can also difference the I(0) variables if you wish.)Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-52931036215689039272017-01-21T12:12:53.047-08:002017-01-21T12:12:53.047-08:00Respected Professor
I have a question. If i am ap...Respected Professor <br />I have a question. If i am applying ARDL model in which the dependent variable is I(1) but the independent variables are I(0). Can i apply impulse response and variance decomposition? If yes, how can i model it in unrestricted VAR? As i need to use the stationary variables in VAR!<br />Many thanks Professor <br />Faisal Sherhttp://www.blogger.com/profile/16355528359488434880noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-47489379674221413072017-01-19T16:12:45.273-08:002017-01-19T16:12:45.273-08:00This comment has been removed by the author.Adam Elderfieldhttp://www.blogger.com/profile/14269270642659046827noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-64425741494809548652017-01-19T00:36:51.511-08:002017-01-19T00:36:51.511-08:00Thank you Professor Giles for sharing this valuabl...Thank you Professor Giles for sharing this valuable book with your students. It's really a great book. It will help practitioners a lot.Santosh Dashhttp://www.blogger.com/profile/02016226999263087762noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-53049351523568704932017-01-18T08:11:43.164-08:002017-01-18T08:11:43.164-08:00Again - bootstrap them. I'll see if I can do b...Again - bootstrap them. I'll see if I can do better than this, though.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-77265942944353342862017-01-18T07:42:10.721-08:002017-01-18T07:42:10.721-08:00Hi Dave! I was wondering if there is a way to calc...Hi Dave! I was wondering if there is a way to calculate prediction intervals around predicted values from orthogonal regression? Thanks Ramnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-18299667532422840952017-01-17T14:30:38.653-08:002017-01-17T14:30:38.653-08:00Neither of the two cases should work. In both cas...Neither of the two cases should work. In both cases (given the same regression model), the intercepts would be (α + y), (α - y) in the first case & (α), (α +y), (α - y) in the second case. Both of these are assuming a negative effect of the lack of condition A or condition C respectively.<br /><br />The first case has a whiff of plausibility however. If there existed a condition such that effects were inherently positive when it holds and inherently negative when it does not (or vice versa), perhaps it would work. An example may be the existence of debt and its effects on one's credit score. It does still seem to be making assumptions before testing the data...Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-77551344748764328172017-01-14T14:08:21.883-08:002017-01-14T14:08:21.883-08:00Julio - yes, they certainly are.Julio - yes, they certainly are.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-32879773964007196292017-01-14T13:37:05.250-08:002017-01-14T13:37:05.250-08:00Thank you very much for your explanation. So, ther...Thank you very much for your explanation. So, there is no option when there are not observations after period T. Dynamic forecasting is used, however error prediction is higher. My question is: what about indicators such as (i) root mean squared error, (ii) mean absolute percent error, (iii) bias proportion, (iv) variance proportion. Are they helpful in order to know the forecast performance?Julio Rospigliosihttp://www.blogger.com/profile/15485918486781230399noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-74928504044446540292017-01-12T14:44:42.530-08:002017-01-12T14:44:42.530-08:00If you use the forecast function, clicking static,...If you use the forecast function, clicking static, and choose to forecast the variable in levels rather than differences this will "unscramble" it. Alternatively, you could use the output and work through the maths in a spreadsheet, which will help remove the "black box" illusion of eviews. Adam Elderfieldhttp://www.blogger.com/profile/14269270642659046827noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-6026462272173752622017-01-10T07:07:33.929-08:002017-01-10T07:07:33.929-08:00Very informative blog for sureVery informative blog for sureAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-86448373063538927522017-01-10T06:49:25.978-08:002017-01-10T06:49:25.978-08:00This blog is very educative. I have learnt alot fr...This blog is very educative. I have learnt alot from the conversationisaacnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-77091173620642563732017-01-09T11:00:13.138-08:002017-01-09T11:00:13.138-08:00Thanks for the very useful comment. I'll take ...Thanks for the very useful comment. I'll take a look at Sims's article and comment later.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-63359434122985286162017-01-09T09:02:04.022-08:002017-01-09T09:02:04.022-08:00My take is that the only possible values for a &qu...My take is that the only possible values for a "qualitative" dummy variable are 1 or 0; because if it holds it must be 1 so the estimated coefficient is not "scaled", and similarly for 0, If A and B are mutually exclusive this must be represented implicitly by the fact that in the estimation data when A is 1 B is 0 and viceversa. Mutual exclusion is a property of the data...<br />Blissexnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-74288339274668810032017-01-09T03:07:16.256-08:002017-01-09T03:07:16.256-08:00I always wondered didn't C. A. Sims prove that...I always wondered didn't C. A. Sims prove that Almon approximation should not be used, as it really doesn't approximate? I am refering to the following article: http://www.jstor.org/stable/pdf/2284717.pdf?acceptTC=true&seq=1#page_scan_tab_contents. <br /><br />In this article C. A. Sims shows that if we want an approximation, our goal is to get as close as possible to $y_t$ and not the actual lag coefficients. Hence we move to a different space and Weierstrass result does not apply. From what I've read I got the impression that nobody expanded on Sims' idea. Can you comment on that?<br /><br />Thanks by the way for mentioning MIDAS R implementation, I noticed that you did that several times already, so I am rolling all the thanks into one.mpiktashttp://www.blogger.com/profile/00263438252335043113noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-32372116080548576752017-01-08T10:35:22.511-08:002017-01-08T10:35:22.511-08:00David - that's interesting! I don't have a...David - that's interesting! I don't have a reference - sorry!Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-78964061347577613612017-01-08T10:04:01.865-08:002017-01-08T10:04:01.865-08:00I recall reading that Mick Jagger’s favorite econo...I recall reading that Mick Jagger’s favorite economist was Friedrich Hayek. But I can’t find a cite on that. Do you know?David R. Hendersonhttp://www.blogger.com/profile/02927325694778972407noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-18111485088181895682017-01-08T09:01:49.993-08:002017-01-08T09:01:49.993-08:00Sorry for perpetuating Arthur's error - I'...Sorry for perpetuating Arthur's error - I've added a comment in the post. Thanks!Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-1631488955324586262017-01-08T07:36:55.300-08:002017-01-08T07:36:55.300-08:00But Mick Jagger never graduated from LSE. But Mick Jagger never graduated from LSE. Oso Polarhttp://www.blogger.com/profile/10211633037258201914noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-91148784455843819892017-01-07T08:01:06.265-08:002017-01-07T08:01:06.265-08:00Thanks for the comment. I'll add a couple of c...Thanks for the comment. I'll add a couple of comments to the text and say more in a later post. Yes, the data have to be stationary - it's just a regression model with restrictions on the coefficients.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-87472167032137624232017-01-07T03:09:29.512-08:002017-01-07T03:09:29.512-08:00Thanks sir for such a nice post. But you did't...Thanks sir for such a nice post. But you did't touch the issue of selection of lag length and degree of polynomial. Please address this issue in some post. One other confusion which I need to clarify that whether it is nessesary that y and x variable should be stationary for applying Almon technique.Majidhttp://www.blogger.com/profile/05085123036054922986noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-33934937130887877962017-01-01T11:52:50.017-08:002017-01-01T11:52:50.017-08:00For Gregory & Hansen code, see: http://forums...For Gregory & Hansen code, see: http://forums.eviews.com/viewtopic.php?t=976Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-82586960090325116602016-12-30T07:20:21.056-08:002016-12-30T07:20:21.056-08:00Why don't you check with the people at EViews....Why don't you check with 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-54403247276515653632016-12-30T06:28:38.948-08:002016-12-30T06:28:38.948-08:00why didn't eviews 9 don't give diagnostic ...why didn't eviews 9 don't give diagnostic tests for both long run and short run dynamics ?Lotfi Ait Hssainehttp://www.blogger.com/profile/17640233517636009792noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-31569439866780503562016-12-28T16:16:59.505-08:002016-12-28T16:16:59.505-08:00You're right - what I had written was far from...You're right - what I had written was far from accurate, and I have amended the post accordingly. Thanks for pointing this out.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.com