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I am using the monthly dividend yield data. I am successfully able to run the 1,2 and 3 model using the latest version of rtadf package with EViews 8.0. However, when I run model 4 (GSADF) it is showing two issues: 1. Enormous amount of computation time (However it is ok!!) {It is not happening for ...

After adding the dummy variable re-do the analysis of AIC/SIC to determine the optimum lag length before going for a VAR system.

PS: Non normality of residuals is not a serious condition and can be neglected.

Taking log is not at all necessary unless you are interested in:

a. Analyzing the elasticity
b. removing heteroskedasticity (if it exists)

Impulse response functions are needed for a specific kind of analysis only if you are not interested in it, you might not show it.

HI,

You can use the second formula if you are sure that the NAV you are using has been adjusted for dividends.

You could transform your variable say x to log(a+x) where a is a positive integer.

It depends on the length of the time taken under consideration. If it is like for 10 years or more it is advisable to go for time-panel econometric techniques. Also, when going for a simple panel model, you may not restrict yourself to pooled model alone, you might want to go for Fixed and/or Random...

Hi,

1. The trend that you might be seeing might be cause of the scale that you are taking to plot. It is just a guess and it is impossible to say anything for definite about the data without seeing it.

2. No, it is not advisable to take a difference of a stationary variable.

Any help with regard to my previous question?

I presume you are talking about HEGY test. If that is the case you should consider referring to this post viewtopic.php?t=301&f=15

Hi,

As some of your variables are I(1) it is better to apply ARDL rather than a normal VAR. You can read a lot about the theory of the ARDL and how to apply it on internet. Several posts on this forum also deal with the same.

Hi Trubador, Can you elucidate something on the interpretation of the unrestricted cointegrating and adjustment coefficients. I have attached a workfile. I understand the interpretation of this in mathematical sense to find out the rank, but I want to know the physical interpretation of it. I would ...

Hi Hana, I was reading another articles today which says in case of a contradiction between trace and eigen value statistics, go with the trace statistic, however, no specific reason has been given for the same. The article is attached here. I am again unsure if literature in error correction model ...

You can change the value of delta as per your need and justification. The tarcoint package gives that autonomy to the user.

Hi Abir, Your problem with ARDl model estimation is a common problem faced by many. I am attaching a link to Prof. Giles blog where he answers all of your questions that are now and might come in future as you keep going forward with each step. He has explained very nicely with the help of an EViews...

I was wondering if someone could extend any help with regard to implementation of Westerlund ECM panel cointegration test either in EViews or in R.

Any help would be really appreciated.

Regards
Nishant Vats