tag:blogger.com,1999:blog-2198942534740642384.comments2016-05-02T14:00:06.101-07:00Econometrics Beat: Dave Giles' BlogDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger3323125tag:blogger.com,1999:blog-2198942534740642384.post-15384266510543832882016-05-02T13:15:57.280-07:002016-05-02T13:15:57.280-07:00Select coefficient tests, Wald test.Select coefficient tests, Wald test.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-3097766713861373452016-05-02T12:52:06.168-07:002016-05-02T12:52:06.168-07:00Dear Prof.,
Referring to the last sentence of the ...Dear Prof.,<br />Referring to the last sentence of the January 18, 2015 question, that says 'The bounds-test for cointegration would be an F-test on joint significance of the lagged Y and lagged X variables (not including SHOCK)?', how can we do it in EViews?<br /><br />Thank youAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-25917906362518972012016-04-27T07:27:08.140-07:002016-04-27T07:27:08.140-07:00We don't. If there are 2 cointegrating relatio...We don't. If there are 2 cointegrating relationships, then 2 error correction terms will enter the VECM model.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-81842761994192186092016-04-27T07:05:24.799-07:002016-04-27T07:05:24.799-07:00hello Mr. Giles,may you answer me this question......hello Mr. Giles,may you answer me this question... if the Johansen test shows two cointegrating equations.. why do always in a vecm we use just one? thanks jesser-utmachhttp://www.blogger.com/profile/17900677201827676642noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-75415001149440226672016-04-25T08:14:21.886-07:002016-04-25T08:14:21.886-07:00That comment is correct. You might find the follow...That comment is correct. You might find the following paper by Pierre Perron helpful: http://people.bu.edu/perron/papers/dealing.pdfDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-8285980570070984252016-04-25T08:01:01.012-07:002016-04-25T08:01:01.012-07:00Dear Sir,
I have been using Bai-Perron tests to ...Dear Sir,<br /><br />I have been using Bai-Perron tests to identify structural breaks in variables I am trying to model for Cointegration. One comment I have received is that B-P has problems with non-stationary data. I am also using graphs to identify breaks - recursive, cusum with r - but would you recommend any other approach to cointegration with obvious multiple structural breaks? <br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-72500226331797797182016-04-22T07:25:39.538-07:002016-04-22T07:25:39.538-07:00The same reporting and lack-of-consideration issue...The same reporting and lack-of-consideration issues apply when these models are used in biomedical research, as I'm finding out. It is very difficult to feel confident in reported results and there is a huge price to pay in terms of time in trying to evaluate the possibility such issues exist given the paucity of what appears in the typical manuscript. I wish more attention was given to these and similar issues.Toddnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-74745151307577223672016-04-21T10:47:47.563-07:002016-04-21T10:47:47.563-07:00Thank you so much for your reply Sir!Thank you so much for your reply Sir!Sanjay Dashttp://www.blogger.com/profile/10525615834270456638noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-857282948395199062016-04-21T08:11:14.234-07:002016-04-21T08:11:14.234-07:00Yes.Yes.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-5374396116336990542016-04-21T07:19:01.625-07:002016-04-21T07:19:01.625-07:00Dear Prof. Giles , I have to anlyse impact of 5 ma...Dear Prof. Giles , I have to anlyse impact of 5 macrovariables on stock index and out of 5, 4 are I(1) and 1 is I(0). So can I apply ARDL model here. many thanks. plz reply.Unknownhttp://www.blogger.com/profile/10525615834270456638noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-12797123399488804352016-04-20T07:43:33.221-07:002016-04-20T07:43:33.221-07:00If the one that is SA already is to be the depende...If the one that is SA already is to be the dependent variable in the model, I'd seasonally adjust the other series before modelling. It is's going to be a regressor, I'd not SA the others, but I;d include seasonal dummy variables in the ARDL model.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-24223242040613343682016-04-20T01:43:56.823-07:002016-04-20T01:43:56.823-07:00Hi Dave, this is an excellent blog and has helped ...Hi Dave, this is an excellent blog and has helped my understanding of econometrics so much since I have found it.<br /><br />I am looking to estimate a ARDL model (using monthly data * 15 years) where 3 of my 4 variables are not seasonally adjusted. Unfortunately one – unemployment – is only published as seasonally adjusted. I think it's always best to start analysis with unadjusted data but cannot for this variable. Should I try to SA the other three when estimating the ARDL? Interestingly, the variable I am most interested in from the model does not appear to have any seasonality. I'm not sure how to progress at the moment. Any thoughts you might have would be very helpful,<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-71141522613604411582016-04-19T14:22:44.968-07:002016-04-19T14:22:44.968-07:00thank you very much ))) it was very useful. You ar...thank you very much ))) it was very useful. You are a Great teacher!!!Ashkhen Nigoyanhttp://www.blogger.com/profile/16871479310343980304noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-60134313176633938962016-04-19T12:35:43.090-07:002016-04-19T12:35:43.090-07:00Obviously that depends on what distribution they f...Obviously that depends on what distribution they follow. You could try a log-transformation of the y data.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-5674133055504710532016-04-19T12:10:29.795-07:002016-04-19T12:10:29.795-07:00The errors of my VAR model arent normally distribu...The errors of my VAR model arent normally distributed. I want to make them normally distributed: how can I fix it?Ashkhen Nigoyanhttp://www.blogger.com/profile/16871479310343980304noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-52195484585073930532016-04-19T08:10:29.881-07:002016-04-19T08:10:29.881-07:00If your VAR model has normally distributed errors,...If your VAR model has normally distributed errors, and you`re estimating it using OLS, then you`re already using MLE.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-12233665875003040822016-04-19T08:07:35.498-07:002016-04-19T08:07:35.498-07:00Sorry, I don't. Maybe another reader does.Sorry, I don't. Maybe another reader does.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-13662336849045543532016-04-19T03:57:24.842-07:002016-04-19T03:57:24.842-07:00Sir, I want to know , can I use that method for VA...Sir, I want to know , can I use that method for VAR model?Ashkhen Nigoyanhttp://www.blogger.com/profile/16871479310343980304noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-61146286320843799192016-04-19T03:18:03.928-07:002016-04-19T03:18:03.928-07:00sir,
do you have codes on ANST GARCH models..
sir,<br /><br />do you have codes on ANST GARCH models..<br /><br />alabhttp://www.blogger.com/profile/02369958865681197163noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-57517708226877153802016-04-17T07:22:23.161-07:002016-04-17T07:22:23.161-07:001. It's not that het. isn't a problem - it...1. It's not that het. isn't a problem - it's unlikely to be present with time-series data.<br />2.Nope, it's not true.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-4967717056375898802016-04-16T08:56:28.426-07:002016-04-16T08:56:28.426-07:00Dear Sir,
Thank you very much for your post! It re...Dear Sir,<br />Thank you very much for your post! It really helps.Could you please explain or show me any papers to read through related these problems?<br />1- why is heteroskeadasticity not a problem in ARDL model? Or if applicable, is there any ways to deal with this problem? <br />2- Some people said that when the absolute value of ECT (-1)is larger than 1, it is still acceptable in financial research. Is it true?<br />I really appreciate your help!!!<br />Regards,Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-44456438920454805712016-04-15T07:40:09.307-07:002016-04-15T07:40:09.307-07:00No. The dummies are just shifting the intercept.No. The dummies are just shifting the intercept.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-22444638557914578982016-04-15T01:53:53.321-07:002016-04-15T01:53:53.321-07:00Would you include lags of the dummy variables?Would you include lags of the dummy variables?FlashCushttp://www.blogger.com/profile/16198671206505407522noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-12623827190425369862016-04-14T10:15:35.975-07:002016-04-14T10:15:35.975-07:00Sorry - I don't.Sorry - I don't.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-28497282756066691182016-04-14T07:09:34.004-07:002016-04-14T07:09:34.004-07:00That will be because the lag structure of your mod...That will be because the lag structure of your model is dynamically unstable - that is, one or more of the inverse roots of the characteristic equation lie outside the unit circle. Such a model shouldn't be used.Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.com