tag:blogger.com,1999:blog-2198942534740642384.comments2018-10-18T01:42:48.672-07:00Econometrics Beat: Dave Giles' BlogDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger3991125tag: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.comtag:blogger.com,1999:blog-2198942534740642384.post-20191316344312716422018-09-17T12:41:56.750-07:002018-09-17T12:41:56.750-07:00who is the publisher ?who is the publisher ?سمير زين العابدين علىhttps://www.blogger.com/profile/12974874957849109359noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-43406423628833562172018-09-08T06:45:33.364-07:002018-09-08T06:45:33.364-07:00Thanks for the comment - now fixed. DGThanks for the comment - now fixed. DGDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-54263743942757012462018-09-08T00:59:31.542-07:002018-09-08T00:59:31.542-07:00Thank you for your description. May you upload Ita...Thank you for your description. May you upload Itamar's description of his rsadf Add-in package again. The DropBox link seems to be broken. Thank you in advance.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-40334875083013932018-09-04T16:47:44.880-07:002018-09-04T16:47:44.880-07:00It is linked in the "References" above -...It is linked in the "References" above - click on the authors' names.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-36333126084230871662018-09-04T10:26:37.607-07:002018-09-04T10:26:37.607-07:00Thank you for this useful post. I would like to ch...Thank you for this useful post. I would like to check out Smith and Giles (1976), but I cannot find it online. Would it be possible for you to link to it (or send it to me)? My email is snyde138@msu.edu --Thank you!Unknownhttps://www.blogger.com/profile/12999389571972255635noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-69431791716224631802018-09-02T04:53:38.108-07:002018-09-02T04:53:38.108-07:00The thing that is a concern is the positive sign f...The thing that is a concern is the positive sign for the coefficient of the ECT - that makes no sense.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-78946404473380127222018-09-02T04:33:51.496-07:002018-09-02T04:33:51.496-07:00Dear Professor,
My cointegration vector includes ...Dear Professor,<br /><br />My cointegration vector includes three variables (I used a VECM model for government expenditure, government revenues and GDP in logs). The coefficient of revenues in the coint. equation is not significant. Is there a problem in general with insignificant cointegration parameters undet the Johansen framework?<br /><br />*Note that the error-correction term of the EC model of ΔRev is also not significant and positive. Unknownhttps://www.blogger.com/profile/14067483387520033485noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-76992929750249408252018-08-29T05:38:34.895-07:002018-08-29T05:38:34.895-07:00Yes it would -but only if you are really going to ...Yes it would -but only if you are really going to use all 23 series in the same model, which sounds a bit surprising.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-6096731495109484982018-08-29T01:56:18.117-07:002018-08-29T01:56:18.117-07:00It was really a nice post Thanks for sharing
Tab...It was really a nice post Thanks for sharing <br /> <a href="https://onlineitguru.com/tableau-online-training-placement.html" rel="nofollow">Tableau Online Training</a>mounikahttps://www.blogger.com/profile/06622438005105687926noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-36520157712111325392018-08-29T00:30:08.858-07:002018-08-29T00:30:08.858-07:00Thanks for a very clear and simple explanation!
G...Thanks for a very clear and simple explanation!<br /><br />Going by the basic steps for the procedure: 2)Let the maximum order of integration for the group of time-series be m. So, if there are two time-series and one is found to be I(1) and the other is I(2), then m = 2. If one is I(0) and the other is I(1), then m = 1, etc.<br /><br />In my group of time series, which is 23 series, one is stationary after second differencing, I(2), while others are stationary at levels, I(0). Would it be correct for me to take "2" as the maximum order of integration for the group?<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-28594240894925516862018-08-26T06:30:31.273-07:002018-08-26T06:30:31.273-07:00Michael - for the distribution of the bounds test ...Michael - for the distribution of the bounds test statistic to be correct (& hence for the tabulated critical values to apply), weak exogeneity is required. So, no, I don't think so either.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-76381488880800403142018-08-25T14:26:41.667-07:002018-08-25T14:26:41.667-07:00Professor,
I see ARDL models and the bounds test ...Professor,<br /><br />I see ARDL models and the bounds test used more and more for determining if a long run relationship exists. But the ARDL approach, as you know, requires that the independent variable be weakly exogenous. Yet studies having used the bounds test then estimate a bidirectional VECM. My question is can the bounds test still be used when there is a bidirectional relationship between the variables? I should think not, but wish your considered opinion.Michael Stonehttps://www.blogger.com/profile/08797935250604204327noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-24643321784038385522018-08-17T14:13:30.205-07:002018-08-17T14:13:30.205-07:00I'm a bit confused - you say you chose the lag...I'm a bit confused - you say you chose the lag length by MAXIMIZING SIC - shouldn't you be MINIMIZING it? Also, if you have evidence of structural breaks, did you allow for this when applying the Johansen cointegration tests? If not, this may be the source of your difficulty.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-63223042706856663532018-08-17T14:06:53.533-07:002018-08-17T14:06:53.533-07:00Dear Prof Giles,
I am doing thesis report on Gran...Dear Prof Giles,<br /><br />I am doing thesis report on Granger causality of export on GDP. My variables are GDP, Capital, Productivity (GDP/Labour), Import, and Export. All variables are expressed in natural logarithm (LN) and have 45 annual data each. All variables are I(1) using ADF, KPSS, and PP. Also there is evidence of structural breaks using Zivot Andrews and Multiple Breakpoint Test using OLS where Constant was only independent variable.<br /><br />I found lag 5 to be best for VAR model through trial-and-error basis considering SIC. At this lag, the VAR has highest SIC and no serial auto-correlation using LM test.<br /><br />Using Johansen Cointegration test at lag 5, there is existence of 4 cointegrating equations. But using both T-Y VAR and VECM, I cannot establish any causality between Export and GDP. I also used dummy (amateurish attempt) (1973-1999=0; 2000-2017=1) which still reinforces no causality between GDP and Export. <br /><br />Can you suggest what you would recommend to do...???<br />Can I attribute my ordeal to the problem that Johansen Cointegration Test has regarding lag lengths?? Also, if I use lag 2 and 3, I have 3 cointegration equations.<br />Fahim Hassannoreply@blogger.com