tag:blogger.com,1999:blog-2198942534740642384.comments2017-10-18T06:36:15.990-07:00Econometrics Beat: Dave Giles' BlogDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger3830125tag:blogger.com,1999:blog-2198942534740642384.post-25837103222455595092017-10-18T06:36:15.990-07:002017-10-18T06:36:15.990-07:00Javaid - I'm afraid I don't understand wha...Javaid - I'm afraid I don't understand what could be meant by "uni-directional cointegration".Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-69255754261115203432017-10-18T00:25:21.255-07:002017-10-18T00:25:21.255-07:00Hello sir, thank you for such a heuristic illustra...Hello sir, thank you for such a heuristic illustration. <br />i wanted to know sir, the variables included in analysis should bear unidirectional co-integration, if there is a feedback then ARDL model is inappropriate? <br />Javaid Nazirhttps://www.blogger.com/profile/14105352234310654846noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-50475271775987139912017-10-16T01:35:40.807-07:002017-10-16T01:35:40.807-07:00Hi Prof. Thanks for the insights. However, suppose...Hi Prof. Thanks for the insights. However, suppose you need to do a multivariate test of heteroskedasticity for the whole SUR system rather than equation-by-equation. How do you do it in Eviews? Kindly refer to the following paper:<br />System Misspecification Testing and Structural Change in the Demand for Meats<br />Anya McGuirk, Paul Driscoll, Jeffrey Alwang, and Huilin Huang (1995).<br />There's need to take into account cross-equation correlation when conducting multivariate diagnostic tests.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-41558765937017069032017-10-16T00:08:10.813-07:002017-10-16T00:08:10.813-07:00It is much needed! I have always thought of this. ...It is much needed! I have always thought of this. It will be a significant stuffs. The journals are always biased for POSITIVE results which is unfair. Santosh Dashhttps://www.blogger.com/profile/02016226999263087762noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-90681617944990704952017-10-15T07:03:35.864-07:002017-10-15T07:03:35.864-07:00Thanks for that!!!Thanks for that!!!Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-58897830790330393532017-10-15T02:52:47.809-07:002017-10-15T02:52:47.809-07:00The development version of the R package "plm...The development version of the R package "plm" has the function "pgrangertest" to perform the panel Granger causality test by Dumistrecu/Hurlin (2012).Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-41576228402654901792017-10-11T22:59:37.312-07:002017-10-11T22:59:37.312-07:00Excellent and helpful postâ€¦ I am so glad to left c...Excellent and helpful postâ€¦ I am so glad to left comment on this. This has been a so interesting ..I appreciate your effort..Smithhttps://www.youniversitytv.com/noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-88890671314558698402017-10-11T04:57:44.694-07:002017-10-11T04:57:44.694-07:00Thanks a lot for the explanation!Thanks a lot for the explanation!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-6536275454007533372017-10-09T05:01:57.907-07:002017-10-09T05:01:57.907-07:00Thank you so much Prof Giles! Thank you so much Prof Giles! DCRsilverhttps://www.blogger.com/profile/06356638588580939810noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-57454725817673912902017-10-08T07:11:03.981-07:002017-10-08T07:11:03.981-07:00"Yes" to the second part of your second ..."Yes" to the second part of your second question too. :-)Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-14104419000885461982017-10-08T07:07:51.179-07:002017-10-08T07:07:51.179-07:00Yes, absolutely - you can see this illustrated in ...Yes, absolutely - you can see this illustrated in equations (1) and (2), in fact. And it will always hold for any X and Y because the R-squared in such cases is just the square of the sample correlation between X and Y.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-86850849101648643602017-10-08T00:23:13.445-07:002017-10-08T00:23:13.445-07:00Dear Professor,
Would the same results for match...Dear Professor, <br /><br />Would the same results for matching r-squared hold if a constant (intercept) is included?<br />And thus adjusted r-squared also unchanged since this just uses the r-squared but with the degrees freedom adjusted for the intercept included?<br /><br />Thank you, wonderfully useful blog!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-54156873776505889922017-10-08T00:16:49.262-07:002017-10-08T00:16:49.262-07:00Brilliant Professor thank you.
Would r-squared th...Brilliant Professor thank you.<br /><br />Would r-squared thus remaombthe same for the reversed regression if a constant is included? (y= a + bx + e, vs x= b x ax + e). <br /><br />Thanks!Unknownhttps://www.blogger.com/profile/06356638588580939810noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-94376302139531312017-10-07T05:59:36.331-07:002017-10-07T05:59:36.331-07:00Yes - it can be I(0) or I(1).Yes - it can be I(0) or I(1).Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-16483112329232762632017-10-07T05:59:10.968-07:002017-10-07T05:59:10.968-07:00It must be I(1) or I(0) - you can;t use ANY I(2) v...It must be I(1) or I(0) - you can;t use ANY I(2) variables in standard bounds testing.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-33948017120990665462017-10-07T05:57:37.294-07:002017-10-07T05:57:37.294-07:00This comment has been removed by the author.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-71738057614823382932017-10-06T19:47:00.597-07:002017-10-06T19:47:00.597-07:00Sir you have used Gas variable I(0)as dependent in...Sir you have used Gas variable I(0)as dependent in ARDL model Can we use I(0) variable as dependent variable?<br />sivaSelliah Sivarajasinghamhttps://www.blogger.com/profile/13665324636921212732noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-40908831751639714012017-10-05T05:59:31.522-07:002017-10-05T05:59:31.522-07:00In general, "yes". It all depends on wha...In general, "yes". It all depends on what it is you're trying to evaluate.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-10801515116327654352017-10-04T21:42:44.515-07:002017-10-04T21:42:44.515-07:00Hi Prof Giles, suppose there is no causation betwe...Hi Prof Giles, suppose there is no causation between the variables in a VAR framework, would it be meaningful to proceed to plotting and interpreting the IRF and VCD? Thanks.Liew Ping Xinhttps://www.blogger.com/profile/03424829203340862735noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-15549771591677854482017-09-29T10:28:34.071-07:002017-09-29T10:28:34.071-07:00Yes John, I'm now retired and living in L'...Yes John, I'm now retired and living in L'Amable. Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-64242279047506353372017-09-29T07:36:56.090-07:002017-09-29T07:36:56.090-07:00Nice.
If you are actually in L'Amable, it'...Nice.<br /><br />If you are actually in L'Amable, it's not so far from Ottawa and a chance to compare notes with others who share your interests.<br /><br />nashjc _at_ uottawa.ca<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-82909143517309171852017-09-29T05:13:49.676-07:002017-09-29T05:13:49.676-07:00Thanks - very helpful. Not sure if this is MORE in...Thanks - very helpful. Not sure if this is MORE intuitive though.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-52054413419993863072017-09-29T05:13:16.013-07:002017-09-29T05:13:16.013-07:00Thanks for these!Thanks for these!Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-63854900790379894792017-09-29T05:12:53.856-07:002017-09-29T05:12:53.856-07:00Yes - there's lots of formal testing that you ...Yes - there's lots of formal testing that you can do. This is just a quick visual check - nothing more.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-6392061898428650092017-09-28T22:16:57.771-07:002017-09-28T22:16:57.771-07:00A more intuitive ways to visualize patterns in bad...A more intuitive ways to visualize patterns in bad RNGs are shown here.<br /><br />Strange Attractors and TCP/IP Sequence Number Analysis<br />http://lcamtuf.coredump.cx/oldtcp/tcpseq.html<br /><br />Strange Attractors and TCP/IP Sequence Number Analysis - One Year Later<br />http://lcamtuf.coredump.cx/newtcp/Anonymousnoreply@blogger.com