Search found 34 matches
- Mon Nov 10, 2014 7:56 am
- Forum: Add-in Support
- Topic: rtadf
- Replies: 53
- Views: 143563
Re: rtadf
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 ...
- Sat Nov 08, 2014 12:07 am
- Forum: Econometric Discussions
- Topic: autocorrelation, thesis help please
- Replies: 1
- Views: 2826
Re: autocorrelation, thesis help please
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.
PS: Non normality of residuals is not a serious condition and can be neglected.
- Sat Nov 08, 2014 12:04 am
- Forum: Econometric Discussions
- Topic: log condition for ARDL
- Replies: 2
- Views: 3341
Re: log condition for ARDL
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.
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.
- Sat Nov 08, 2014 12:01 am
- Forum: Econometric Discussions
- Topic: calculate returns
- Replies: 2
- Views: 3947
Re: calculate returns
HI,
You can use the second formula if you are sure that the NAV you are using has been adjusted for dividends.
You can use the second formula if you are sure that the NAV you are using has been adjusted for dividends.
- Fri Nov 07, 2014 11:51 pm
- Forum: Econometric Discussions
- Topic: removing heteroskedasticity in panel data
- Replies: 1
- Views: 3220
Re: removing heteroskedasticity in panel data
You could transform your variable say x to log(a+x) where a is a positive integer.
- Wed Jul 16, 2014 5:27 am
- Forum: Econometric Discussions
- Topic: Pooled and time series data in one model
- Replies: 1
- Views: 2548
Re: Pooled and time series data in one model
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...
- Wed Jul 16, 2014 5:21 am
- Forum: Econometric Discussions
- Topic: Some Time Series Questions
- Replies: 1
- Views: 2764
Re: Some Time Series Questions
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.
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.
- Tue Jun 24, 2014 8:51 am
- Forum: Econometric Discussions
- Topic: Johansen Cointegration Result Interpretation
- Replies: 14
- Views: 44053
Re: Johansen Cointegration Result Interpretation
Any help with regard to my previous question?
- Sun Jun 15, 2014 1:05 pm
- Forum: Estimation
- Topic: unit root test in quarterly data?
- Replies: 4
- Views: 4746
Re: unit root test in quarterly data?
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
- Sun Jun 15, 2014 12:57 pm
- Forum: Econometric Discussions
- Topic: var
- Replies: 3
- Views: 3829
Re: var
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.
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.
- Sat May 31, 2014 2:26 am
- Forum: Econometric Discussions
- Topic: Johansen Cointegration Result Interpretation
- Replies: 14
- Views: 44053
Re: Johansen Cointegration Result Interpretation
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 ...
- Thu May 29, 2014 12:22 pm
- Forum: Econometric Discussions
- Topic: Johansen Cointegration Result Interpretation
- Replies: 14
- Views: 44053
Re: Johansen Cointegration Result Interpretation
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 ...
- Thu May 29, 2014 12:19 pm
- Forum: Estimation
- Topic: TAR model & asymmetric ECM
- Replies: 14
- Views: 14538
Re: TAR model & asymmetric ECM
You can change the value of delta as per your need and justification. The tarcoint package gives that autonomy to the user.
- Tue May 27, 2014 10:45 am
- Forum: Econometric Discussions
- Topic: ARDL Bounds Test & ECM
- Replies: 3
- Views: 5864
Re: ARDL Bounds Test & ECM
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...
- Tue May 27, 2014 10:27 am
- Forum: Econometric Discussions
- Topic: Westerlund Panel Cointegration Test
- Replies: 0
- Views: 3955
Westerlund Panel Cointegration Test
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
Any help would be really appreciated.
Regards
Nishant Vats