Search found 4 matches

by J&P masters
Sat Apr 30, 2016 2:03 am
Forum: Econometric Discussions
Topic: Breusch Godfrey LM test
Replies: 0
Views: 1159

Breusch Godfrey LM test

Hi! We analyze a weekly dataset. We have an ADL (or ARDL) model with one lagged dependent and independent variable. We want to test for autocorrelation. The Breusch Godfrey LM test requires as to choose a number of lags. But we are not sure about how many lags we should select. We always thought tha...
by J&P masters
Tue Apr 05, 2016 7:15 am
Forum: Econometric Discussions
Topic: Negative resid(-1)^2 coefficient in Garch variance equation
Replies: 6
Views: 6911

Re: Negative resid(-1)^2 coefficient in Garch variance equat

Thanks again. Our variables are in first differences. Our depended variable is (Spot [t+1]-Spot[t])/Spot[t], and our independent variable is (F[t]- Spot[t])/Spot[t]. We have checked the correlogram of the residuals and there is no serial correlation, see the attachment. So that means there is no sig...
by J&P masters
Tue Apr 05, 2016 5:22 am
Forum: Econometric Discussions
Topic: Negative resid(-1)^2 coefficient in Garch variance equation
Replies: 6
Views: 6911

Re: Negative resid(-1)^2 coefficient in Garch variance equat

We thank you kindly for the reply. We have done unit root tests of data series, as well as ADF and KPSS test. The result from ADF showed that data series was stationary, while KPSS test showed that it was not stationary. We also found that it was no ARCH effect in the model. See picture. We are also...
by J&P masters
Fri Apr 01, 2016 4:56 am
Forum: Econometric Discussions
Topic: Negative resid(-1)^2 coefficient in Garch variance equation
Replies: 6
Views: 6911

Negative resid(-1)^2 coefficient in Garch variance equation

Hi!

We are wondering why we get a negative resid(-1)^2 coefficient in Garch variance equation. If anyone could shed some light on this, we would be most thankful. Please see the attachment.

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