Search found 18 matches

by Saakshi
Wed May 15, 2019 4:16 pm
Forum: Econometric Discussions
Topic: Rolling Strategy and Expanding Strategy Forecasting
Replies: 0
Views: 436

Rolling Strategy and Expanding Strategy Forecasting

Hi, I an trying to forecast a series using equation. Following the guide book, I am able to forecast the series but I am unable to understand the difference between in-sample and out-sample forecast. So far to my understanding in-sample forecast has estimation period equivalent to the forecast perio...
by Saakshi
Tue May 22, 2018 12:28 am
Forum: Estimation
Topic: Second Order Differencing
Replies: 7
Views: 2174

Re: Second Order Differencing

Hi Gareth,

As you mentioned static forecast means 1 step ahead. What about 4 step ahead forecast?

thanks,
Saakshi
by Saakshi
Mon Jan 30, 2017 7:05 am
Forum: Econometric Discussions
Topic: Durbin-Wu-Hausman Test
Replies: 3
Views: 1921

Re: Durbin-Wu-Hausman Test

Thanks. I need one more explanation. I used TSLS for an estimation and then followed regressor endogeneity test that is Durbin-Wu-Hausman. My regressor turns out to be endogenous as the null hypothesis is accepted. So far this means that the regressor is endogenous, so in this case can I go back and...
by Saakshi
Fri Jan 27, 2017 4:25 am
Forum: Econometric Discussions
Topic: Durbin-Wu-Hausman Test
Replies: 3
Views: 1921

Durbin-Wu-Hausman Test

Hi,

I need to perform Durbin-Wu-Hausman Test for an OLS estimate. The null hypothesis is "OLS estimators are consistent". Can you please help me getting some code on this or any idea.

thanks
by Saakshi
Sat Jun 25, 2016 6:50 am
Forum: Estimation
Topic: Forecasting a time series model using ARIMA model
Replies: 2
Views: 1450

Re: Forecasting a time series model using ARIMA model

Please help me with this problem. I am stuck here. Kindly help.
by Saakshi
Fri Jun 24, 2016 11:15 am
Forum: Estimation
Topic: Forecasting a time series model using ARIMA model
Replies: 2
Views: 1450

Re: Forecasting a time series model using ARIMA model

Hi, I want to forecast CPI from 1996Q1 to 2016Q1. My data of CPI is for the same period. I am actually looking for E_t(CPI_t+1) i.e future inflation for every quarter from 1996Q1 to 2016Q1. This forecasting I need to do is by ARIMA 1 quarter that is it will cover one quarter and another by ARIMA 4 q...
by Saakshi
Fri Jun 24, 2016 8:19 am
Forum: Estimation
Topic: Forecasting a time series model using ARIMA model
Replies: 2
Views: 1450

Forecasting a time series model using ARIMA model

Hi, I need to forecast a series using ARIMA procedure. So far I have regress the arima equation and is able to do the forecast. But my problem start when I want to forecast the series at 1 and 4 quarter. Actually I have to get an inflation expectation series which is forecasted at 1 quarter and 4 qu...
by Saakshi
Sun Jun 12, 2016 12:42 pm
Forum: Estimation
Topic: Parameter restriction in GMM
Replies: 16
Views: 3425

Re: Parameter restriction in GMM

Thank you startz.
by Saakshi
Sun Jun 12, 2016 10:11 am
Forum: Estimation
Topic: Parameter restriction in GMM
Replies: 16
Views: 3425

Re: Parameter restriction in GMM

Thanks startz. And also how to calculate c(3) standard error?
by Saakshi
Sun Jun 12, 2016 1:34 am
Forum: Estimation
Topic: Parameter restriction in GMM
Replies: 16
Views: 3425

Re: Parameter restriction in GMM

Hi, In the line of same question, I now need to restrict three parameter that is my C(1) + C(2) +C(3) = 1. Earlier for restricting just two parameters that is c(1) + c(2) = 1 I use to give command like c(1)*X1 + (1-C(1))*X2. This was giving me the result. Now for three restrictions if I use the same...
by Saakshi
Sat Jun 11, 2016 9:05 am
Forum: Estimation
Topic: Parameter restriction in GMM
Replies: 16
Views: 3425

Re: Parameter restriction in GMM

Thank you.
by Saakshi
Sat Jun 11, 2016 6:01 am
Forum: Estimation
Topic: Parameter restriction in GMM
Replies: 16
Views: 3425

Re: Parameter restriction in GMM

Hi Gareth, I need your help once more. Kindly can you tell me how to calculate standard error or t-stats of the estimated coefficient in my case for coefficient c(3). Just to recall you I wanted to restrict coefficients for my GMM estimation. I had three independent variables. I had to restrict c(2)...
by Saakshi
Sat Jun 11, 2016 2:25 am
Forum: Estimation
Topic: Parameter restriction in GMM
Replies: 16
Views: 3425

Re: Parameter restriction in GMM

Okay, Thank you.
by Saakshi
Sat Jun 11, 2016 12:18 am
Forum: Estimation
Topic: Parameter restriction in GMM
Replies: 16
Views: 3425

Re: Parameter restriction in GMM

Hi Gareth, I have one more confusion. On estimating the equation, I get the value of two parameters instead of having three. I was just curious to know that when the equation is run it do take into consideration the third variable. What mean to say is for c(1) I have yagapsa for c(2) I have pf_wpi a...
by Saakshi
Sat Jun 11, 2016 12:11 am
Forum: Estimation
Topic: Parameter restriction in GMM
Replies: 16
Views: 3425

Re: Parameter restriction in GMM

Okay. Thanks Gareth thank you so much. I was worried for this whole night I will compute it now.
Thank you so much :)

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