tag:blogger.com,1999:blog-2198942534740642384.comments2018-12-07T14:23:23.433-08:00Econometrics Beat: Dave Giles' BlogDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger4005125tag:blogger.com,1999:blog-2198942534740642384.post-64355927677785107892018-12-07T10:14:13.630-08:002018-12-07T10:14:13.630-08:00Yes, that would be O.K.Yes, that would be O.K.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-57814019633378228132018-12-07T08:59:40.541-08:002018-12-07T08:59:40.541-08:00Dear Dave,
For the error correction equation, is...Dear Dave, <br /><br />For the error correction equation, is it appropriate to include other predictiors which are stationary, but dont have an impact to dependent on levels basis i.e. no long term impact?<br /><br />ThanksHardik Desaihttps://www.blogger.com/profile/17993077566289569728noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-44673813493335735092018-11-29T04:44:14.074-08:002018-11-29T04:44:14.074-08:00Yes, certainly.Yes, certainly.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-63789914714157574742018-11-29T04:43:21.066-08:002018-11-29T04:43:21.066-08:00Because there can still be a short-run relationshi...Because there can still be a short-run relationship. Cointegration is a long-run equilibrium phenomenon.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-3996146928286883262018-11-28T20:54:14.513-08:002018-11-28T20:54:14.513-08:00If series are not cointegrated why proceed with a...If series are not cointegrated why proceed with anything at all?Unknownhttps://www.blogger.com/profile/06543192220751470513noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-55788213664019723602018-11-28T20:45:08.585-08:002018-11-28T20:45:08.585-08:00Wouldn't it be a good idea to also examine for...Wouldn't it be a good idea to also examine forecasting performance in - sample, using a hold - out sample?Unknownhttps://www.blogger.com/profile/06543192220751470513noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-26050691413779572112018-11-28T10:20:01.846-08:002018-11-28T10:20:01.846-08:00Shoaib - Please clarify: do you have one variable ...Shoaib - Please clarify: do you have one variable that is I(2) and 2 that are I(0); or do you have one that is I(2) and 2 that are I(1); or something else.<br />Dave GilesDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-49134924663099815762018-11-28T10:03:25.571-08:002018-11-28T10:03:25.571-08:00Dear Professor Dave,
I want to find the following ...Dear Professor Dave,<br />I want to find the following equation "GDP = f(exh, pexe)". "exh" is expenditure on health and "pexe" is the public expenditure on education. In the Unit root test Out of three only one variable is stationary at level-2 (Annual data from 1997-2017 total 21 obs.). What shall I do the make the data stationary from non-stationary. Can I run the Johansen co-integration with one variable stationary at level-2. or not or what will be the appropriate method for my data.<br /><br />Thank you for your guidance and time in advance.<br />Regards,<br />ShoaibShoaibhttps://www.blogger.com/profile/11052049687645364272noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-52084558067274170592018-11-26T02:13:12.460-08:002018-11-26T02:13:12.460-08:00Thanks for article!Thanks for article!Unknownhttps://www.blogger.com/profile/07086862310552183822noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-19687512885561524562018-11-21T23:17:00.395-08:002018-11-21T23:17:00.395-08:00PDL for multiple x is a special case of MIDAS mode...PDL for multiple x is a special case of MIDAS model. R package midasr can estimate such models. Here is the example:<br /><br />library(midasr)<br />x <- rnorm(100)<br />z <- rnorm(100)<br />px <- almonp(c(0.2,0.5,-0.2),10)<br />pz <- almonp(c(-0.1, 1, 0.3, -0.2), 15)<br />y <- 1+ mls(x, 0:9, 1) %*% px + mls(z, 0:14, 1) %*% pz + rnorm(100)<br />mod <- midas_r(y~mls(x, 0:9, 1, almonp) + mls(z,0:14, 1, almonp), data=list(x=x,y=y,z=z), start=list(x=c(0.2,0.5,-0.2), z=c(-0.1,1,0.3,-0.2)))<br />summary(mod)<br /><br />The model estimated here is the following:<br /><br />y_t = c + \beta_0\sum_{i=0}^9 (beta_1+ beta_2(i+1))x_{t-i} + \gamma_0\sum_{i=0}^14(\gamma_1 + \gamma_2(i+1) + \gamma_2(i+1)^2) z_{t-i} +\varepsilon_t<br /><br />It slightly differs from the specification in the text, since lag distribution function almonp has a different definition in midasr package. But you can use any lag distribution you want. Note that the estimation is done via NLS, so you need to supply the initial parameter values.mpiktashttps://www.blogger.com/profile/00263438252335043113noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-83991150533299239992018-11-21T07:42:30.600-08:002018-11-21T07:42:30.600-08:00The only R package that deals with the Almon estim...The only R package that deals with the Almon estimator directly, as far as I can tell, is the dLagM package that you mention. Why anyone would limit the package to allow for only a single regressor is beyond me! However, that does seem to be major limitation of this package. Eviews handle the Almon estimator in a general context. Alternatively you could use the Gretl econometrics package (which is free, and available at gretl.sourceforge.net/). There are some add-ons for Gretl that allow estimation of the Almon DL model - see this link for details: https://userpage.fu-berlin.de/sfu/gretlpkgpdf/lagreg_v07.pdfDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-1437113651711170382018-11-21T03:57:03.832-08:002018-11-21T03:57:03.832-08:00Hi David,
Thanks for this awesome post. While look...Hi David,<br />Thanks for this awesome post. While looking for R packages that estimate these models, I came across package called dLagM. This package has a function for estimating polynomial distributed lag (PDL) model -- polyDLM. However, this function only accepts a single x driver. <br />I am not sure why the author could not extend the idea to accepting multiple x drivers. Are you aware of other packages in R that do this estimation?aj Jhttps://www.blogger.com/profile/12543012132563550614noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-70766996604341764062018-10-19T10:04:39.429-07:002018-10-19T10:04:39.429-07:00I would suggest that you use the free package, FRO...I would suggest that you use the free package, FRONTIER, which you can download from http://frontier.r-forge.r-project.org/front41.htmlDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-2838316115550863432018-10-19T03:47:44.438-07:002018-10-19T03:47:44.438-07:00Dear Preofessor,
I am trying to estimate technical...Dear Preofessor,<br />I am trying to estimate technical efficiency for micro data (primary data) of agriculture sector. I have data of Six districts and each district have more than 60 household interviewd. my question is that, can I use eviews to estimate technical efficiency If yes, how to perform any suggestion and recommendation will be highly appreciated. Unknownhttps://www.blogger.com/profile/13071708466921765860noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-89801968649004470302018-10-13T12:24:08.503-07:002018-10-13T12:24:08.503-07:00In EViews 10, once you have estimated the ARDL mod...In EViews 10, once you have estimated the ARDL model, simply select: <br />View<br />Stability Diagnostics<br />Recursive Estimates<br />CUSUM Test<br />etc.<br /><br />If you are still using EViews 9, take your preferred ARDL specification and just re-estimate it using OLS. Then the CUSUM (etc.) options will be available. Just keep in kind that an ARDL model is just a particular specification, that is then estimated by OLS. Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-72499306359414100532018-10-12T03:30:01.660-07:002018-10-12T03:30:01.660-07:00Dear Prof Giles, i will appreciate if you help in ...Dear Prof Giles, i will appreciate if you help in finding how can we get the CUSUM and CUSUMSQ plots after ARDL cointegration in Eviews9. Javed Iqbalhttps://www.blogger.com/profile/02571090212381308125noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-72887035842830306692018-10-11T07:14:58.380-07:002018-10-11T07:14:58.380-07:00You should test for the order of integration of ea...You should test for the order of integration of each series using a formal test (such as ADF or KPSS). If the series are integrated, of the same order, then you should test for cointegration. The ACF and PACF plots just provide informal visual information.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-21331596803956431722018-10-08T00:49:47.944-07:002018-10-08T00:49:47.944-07:00Dear profesore Giles,
I have seen that you use co...Dear profesore Giles,<br /><br />I have seen that you use correlogram of variables to acees their level of integration. However, I was wondering is it necessary to analise the ACF and PACF of variables before enbarking on cointegration tests. Namely, recently I've seen in the literature a statement like "since 1st lag PACF of both variable does not exceed 0,75 presence of cointegration is not tested". I am not sure I understand why it is not tested. Can you please share some insight? Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-26683837916548644122018-10-03T12:12:12.577-07:002018-10-03T12:12:12.577-07:00Many thanks!Many thanks!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-15959038380131556432018-10-02T05:51:36.556-07:002018-10-02T05:51:36.556-07:00Thanks for pointing that out - it's now fixed....Thanks for pointing that out - it's now fixed.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-68087558616987012262018-10-02T01:43:44.086-07:002018-10-02T01:43:44.086-07:00Hi Professor Giles,
The link to your review seems...Hi Professor Giles, <br />The link to your review seems to lead to page that is not available. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-32359686300881872342018-09-23T16:38:12.771-07:002018-09-23T16:38:12.771-07:00Thanks,
Really neat. I have used the automatic fu...Thanks,<br />Really neat. I have used the automatic function in the past, but not the averaging function.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-49796968339897784062018-09-21T11:13:51.806-07:002018-09-21T11:13:51.806-07:00Very good points.Very good points.Daumantasnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-570044299014738232018-09-17T12:57:27.911-07:002018-09-17T12:57:27.911-07:00The book has now been updated, as of August 2018 (...The book has now been updated, as of August 2018 (at the same link).Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-57260322384045188682018-09-17T12:56:50.750-07:002018-09-17T12:56:50.750-07:00It is self-published (by the co-authors).It is self-published (by the co-authors).Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.com