Search found 5 matches
- Thu Sep 04, 2014 3:42 am
- Forum: Econometric Discussions
- Topic: Unit root test results differ for quarterly and monthly data
- Replies: 0
- Views: 2048
Unit root test results differ for quarterly and monthly data
Hello everyone, I have run some unit root tests (ADF and KPSS) for a few time series and I get different results depending on what frequency I use. For the quarterly data I seem to get a lot more results that indicate stationarity (no unit root). Here an example with the EONIA-dataset (from the ECB ...
- Fri Aug 15, 2014 9:02 am
- Forum: Estimation
- Topic: Smooth Transition Regression - transition with time
- Replies: 9
- Views: 10000
Re: Smooth Transition Regression - transition with time
By that you mean I should give the coefficient-vector C different values before the estimation?
Thank you for your help again.
Thank you for your help again.
- Fri Aug 15, 2014 12:45 am
- Forum: Estimation
- Topic: Smooth Transition Regression - transition with time
- Replies: 9
- Views: 10000
Re: Smooth Transition Regression - transition with time
The resulting coefficients don't make any sense in the model framework and the p-values are not-significant. For the approach via least-squares I don't get any numbers for the t-statistic and p-values. I know the model can be estimated since I am following another paper on this issue (http://link.sp...
- Thu Aug 14, 2014 10:54 am
- Forum: Estimation
- Topic: Smooth Transition Regression - transition with time
- Replies: 9
- Views: 10000
Re: Smooth Transition Regression - transition with time
Thanks for the quick reply. I am trying to estimate a reaction function for the ECB and want to find out if a structural change occurred with this monetary policy rule. So the result should be two different functions, one explaining the ECB rate-setting before and one after the change (~ the financi...
- Thu Aug 14, 2014 3:20 am
- Forum: Estimation
- Topic: Smooth Transition Regression - transition with time
- Replies: 9
- Views: 10000
Smooth Transition Regression - transition with time
Hi everyone, I am looking for help on how to estimate a Smooth Transition Regression for a monetary policy rule. In the setup there are two different regimes, and the policy rules in any one period is a weighted average of those two rules. I am looking for just one switch in the model. The model is ...