Search found 7 matches

by khkboss
Mon May 20, 2019 2:16 pm
Forum: Estimation
Topic: How to use SGMM?
Replies: 3
Views: 405

Re: How to use SGMM?

Systematic GMM, Bond (2002) and Roodman (2006)
by khkboss
Sat May 18, 2019 11:02 am
Forum: Estimation
Topic: How to use SGMM?
Replies: 3
Views: 405

How to use SGMM?

Hello,

I am using Eviews10 and I am not sure how to use SGMM in practice.
I would appreciate it if you walk me through how to do it.
Thank you.
by khkboss
Tue May 14, 2019 7:03 pm
Forum: Estimation
Topic: In EVIEWS 10, I can't find HAC standard errors
Replies: 3
Views: 480

Re: In EVIEWS 10, I can't find HAC standard errors

Does it mean i have to choose either period or cross-section??
by khkboss
Tue May 14, 2019 6:09 pm
Forum: Estimation
Topic: In EVIEWS 10, I can't find HAC standard errors
Replies: 3
Views: 480

In EVIEWS 10, I can't find HAC standard errors

In EVIEWS 10, I can't find HAC standard errors in Coef Covariance Method even though I am using a panel data. Thank you for consideration.
by khkboss
Tue Mar 20, 2018 8:58 pm
Forum: Estimation
Topic: Weak Exogeneity test in VECM and the absence of t-statistics in cointegrating equation
Replies: 0
Views: 532

Weak Exogeneity test in VECM and the absence of t-statistics in cointegrating equation

I took a test of Weak Exogeneity test in my VECM. Having identified weakly exogenous variables, I imposed a restriction on those variables, meaning they are not on the left-hand side, anymore. When I see the cointegrating equation (ranked 1, btw) with the restriction, I cannot find t-statistics (or ...
by khkboss
Fri Feb 02, 2018 12:03 am
Forum: Econometric Discussions
Topic: Cointegrated but a not statistically significant error ter in VECM.
Replies: 0
Views: 492

Cointegrated but a not statistically significant error ter in VECM.

Hello there, All of my variables are I(1) and Johansen test says that my multivariate model has one cointegration. However, my VECM is not statistically significant nor has a right sign. What should I do next? Should I do general to specific approach or VAR with first difference? Thank you for consi...
by khkboss
Wed Jun 14, 2017 9:44 pm
Forum: Econometric Discussions
Topic: Johansen Cointegration Test results
Replies: 0
Views: 1296

Johansen Cointegration Test results

I did a Johansen Cointegration test results and below is the results. It is confusing since the hypothesis of none is not rejected but the hypothesis of at most 1 is rejected.. How should I interpret this? Thank you Date: 06/15/17 Time: 00:34 Sample (adjusted): 2004M09 2008M08 Included observations:...

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