tag:blogger.com,1999:blog-2198942534740642384.post2957567191022405013..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: Cointegration Analysis With I(2) & I(1) DataDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger18125tag:blogger.com,1999:blog-2198942534740642384.post-51320952363873391262015-03-25T13:21:44.218-07:002015-03-25T13:21:44.218-07:00Thank you very much for your reply.
Thank you very much for your reply.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-4468822708438516752015-03-23T15:00:27.528-07:002015-03-23T15:00:27.528-07:00No, this is not the way to proceed - take a look a...No, this is not the way to proceed - take a look at the references given for this post.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-56570358270689163712015-03-23T14:35:11.856-07:002015-03-23T14:35:11.856-07:00Dear Professor,
I have two I(2) series and I would...Dear Professor,<br />I have two I(2) series and I would like to test if there are cointegrated. I follow the same procedure as if they were I(1) but instead of considering the variables in levels, I consider their first difference. Is this correct?<br />More concretely, here is what I do: I estimate a VAR with both variables in first difference and then I determine the optimal lag length on the basis of this equation. Then, I perform the trace and the eigenvalue tests (again on the basis on the first difference of the two variables) in order to test if the two variables (their first difference) are cointegrated. Finally I check that the coefficient of the error correction term is negative but higher that -1 and that it is statistically significant. <br />I would be very grateful if you could give me some pieces of advice. I would like to be sure that this procedure is correct.<br />Thank you very much for your consideration.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-15967023245152179472015-02-24T08:24:08.143-08:002015-02-24T08:24:08.143-08:00I'm assuming that both series are I(1). In tha...I'm assuming that both series are I(1). In that case you should fit a VAR in the levels of the two original variables, determine the optimal lag length, and then go from there to test for cointegration.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-67309729055411895002015-02-24T02:29:54.564-08:002015-02-24T02:29:54.564-08:00Dear Professor,
I am testing two series which th...Dear Professor,<br /><br /> I am testing two series which them Patent app. and Export figures of some country. I am totally confused about Johansen cointegration test about using variable lag (for instance Pat (-1)). Can I use lag of patent variable while testing johansen cointegration.<br /><br />Moreover We are very thankfull sharing your knowledge and experiences with us.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-20546494345653492302015-02-02T08:32:21.883-08:002015-02-02T08:32:21.883-08:00I don't use Stata.I don't use Stata.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-40198227546395361712015-02-01T13:35:24.950-08:002015-02-01T13:35:24.950-08:00Dear Professor,
Can STATA be used to conduct simi...Dear Professor,<br /><br />Can STATA be used to conduct similar tests as mentioned in the article? (cointegration, ECM and Granger causality) The data is of I(2) (wages) and I(1) (CPI) structure. <br /><br />Thank you for the most helpful view on the matter!Hristinanoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-80636450563214935922014-03-20T10:05:05.900-07:002014-03-20T10:05:05.900-07:00The usual Johansen procedure is not appropriate in...The usual Johansen procedure is not appropriate in this case. Hence the many references I give above to the appropriate way of proceeding when you have a mixture of I(2) and I(1) - check them out.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-20800982865108829512014-03-20T09:36:19.772-07:002014-03-20T09:36:19.772-07:00Hello professor.
If I am not mistaken, the Johan...Hello professor. <br /><br />If I am not mistaken, the Johansen cointegration test cannot be applied when the variables have different orders of integration (for example: GDP and Labour Supply as I(1) variables and Capital Stock as I(2) variable). What, then, should be the correct procedure to test for cointegration between these variables? <br /><br />Thank you in advance. Mikhailovichhttps://www.blogger.com/profile/05333485439676261597noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-37940395066087927942013-06-21T08:36:58.828-07:002013-06-21T08:36:58.828-07:00If you have lagged values of the dependent variabl...If you have lagged values of the dependent variable as regressors you shouldn't be using the DW test. These days, we'd use the LM test - keep it mind that it has only asymptotic validity.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-42229165480549809172013-06-20T21:59:49.703-07:002013-06-20T21:59:49.703-07:00Sorry I just want to ask a quick question:
In a ti...Sorry I just want to ask a quick question:<br />In a time series model with a lagged dependent variable, the Durbin Watson statistic is biased towards 2 which is supporting the null, does this make this model useless ? Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-18624131292203270412012-01-26T04:11:14.913-08:002012-01-26T04:11:14.913-08:00THANK YOU DAVIS GILES for writing on I(2) & I(...THANK YOU DAVIS GILES for writing on I(2) & I(1) Data analysis. Basically, the series are said to be co-integrated, if two or more series are individually integrated but some linear combination of them has a lower order of integration.in-memory analyticshttp://www.quartetfs.comnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-17035877241324643512012-01-25T09:59:19.149-08:002012-01-25T09:59:19.149-08:00You're welcome - glad it is helpful.You're welcome - glad it is helpful.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-10180948119523982602012-01-25T08:34:48.961-08:002012-01-25T08:34:48.961-08:00thank you for great infothank you for great infoAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-59188188838081389672012-01-23T08:04:59.544-08:002012-01-23T08:04:59.544-08:00Anonymous: Thanks for the comment. No - not at all...Anonymous: Thanks for the comment. No - not at all. I(2) data arise with often with stocks (as opposed to flows). This is part of the point of Taka's paper.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-54267571880942963302012-01-23T08:00:01.021-08:002012-01-23T08:00:01.021-08:00But is it true that I(2) data is rare?But is it true that I(2) data is rare?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-89814422875263224072012-01-23T06:56:48.816-08:002012-01-23T06:56:48.816-08:00Andeas: Great comments! Thanks, too, for the refe...Andeas: Great comments! Thanks, too, for the references to the work that has started to deal with the structural breaks issue - I;m sure we;ll see more of that.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-48487138914355026092012-01-23T00:39:04.664-08:002012-01-23T00:39:04.664-08:00Thank you for writing about I(2) analysis. I guess...Thank you for writing about I(2) analysis. I guess only few students are presented for the possibility that data could be modelled as I(2). The I(2) analysis makes it possible to analyse data without some kind of preliminary detrending with unknown consequences for the statistical analysis. If you want to focus on the effects from aggregated nominal variables, you really need to consider these models.<br /><br />However, the drawback is that these models are cumbersome to work with and no statistical packages supports I(2) analysis as they come. There exist the commercial add on package "Cats" for Rats, which has most of what an applied cointegration econometrician would need, including some tools for I(2) analysis. The procedures can of course be programmed in e.g. Ox as Kurita has done or Matlab, but if you want to do hypothesis testing, things get complicated.<br /><br />I believe some of the work you are asking for has been done or at least started. Two articles are shown below and actually Kurita coauthers one of them.<br /><br />Kurita, Takamitsu, Heino Bohn Nielsen, and Anders Rahbek. “An I(2) Cointegration Model with Piecewise Linear Trends.” The Econometrics Journal 14, no. 2 (July 1, 2011): 131-155.<br /><br />Johansen, Søren, Katarina Juselius, Roman Frydman, and Michael Goldberg. “Testing Hypotheses in an Model with Piecewise Linear Trends. An Analysis of the Persistent Long Swings in the Dmk/$ Rate.” Journal of Econometrics 158, no. 1 (September 2010): 117-129.Andreas Noack Jensenhttps://www.blogger.com/profile/03077757936637202536noreply@blogger.com