Search found 32 matches
- Sun Sep 03, 2023 2:01 pm
- Forum: Econometric Discussions
- Topic: ARDL and multicollinearity
- Replies: 14
- Views: 33977
Re: ARDL and multicollinearity
Even if multicollinearity translates to "instability in the coefficients", we might need to just accepted it because of the available data and as long as the model specification has the best fit. Particularly when working with time-series in a regression setting.
- Sun Sep 03, 2023 1:47 pm
- Forum: Econometric Discussions
- Topic: ARDL and multicollinearity
- Replies: 14
- Views: 33977
Re: ARDL and multicollinearity
It is bad because we are not sure about the true effect of the regressors. They can change from one sample to another.
- Sun Sep 03, 2023 7:04 am
- Forum: Econometric Discussions
- Topic: ARDL and multicollinearity
- Replies: 14
- Views: 33977
Re: ARDL and multicollinearity
I think you meant "this is a consequence of the data and NOT the model". The model requires lags, tho. So. The issue is how the variables are encoded.
Using lags will come up with multicollinearity. Why time-series analysts are ok with them?
Using lags will come up with multicollinearity. Why time-series analysts are ok with them?
- Sat Sep 02, 2023 4:45 pm
- Forum: Econometric Discussions
- Topic: ARDL and multicollinearity
- Replies: 14
- Views: 33977
Re: ARDL and multicollinearity
I think is affects the standard errors of the estimates, which translates to uncertainty on the estimates. Also, Shouldn't this bother us?
Also, OLS can't clearly distinguish the effects of correlated covariates.
Please, correct me if I'm wrong.
Also, OLS can't clearly distinguish the effects of correlated covariates.
Please, correct me if I'm wrong.
- Fri Sep 01, 2023 2:11 pm
- Forum: Econometric Discussions
- Topic: ARDL cases
- Replies: 0
- Views: 96865
ARDL cases
Hello!
Please, share your experience on when to use restricted/unrestricted intercept/trend.
Please, share your experience on when to use restricted/unrestricted intercept/trend.
- Fri Sep 01, 2023 8:41 am
- Forum: Econometric Discussions
- Topic: ARDL and multicollinearity
- Replies: 14
- Views: 33977
Re: ARDL and multicollinearity
If the ARDL model has multicollinearity, heteroskedasticity, serial correlation, etc., then any functions from it, say Short-run/Long-run multipliers and so will be affected by these problems. Right?
- Thu Aug 31, 2023 9:18 am
- Forum: Econometric Discussions
- Topic: ARDL and multicollinearity
- Replies: 14
- Views: 33977
Re: ARDL and multicollinearity
Thank you, startz. Please, correct me if I'm wrong. There is a distinction between short run and long run multipliers, even Interim/delay multipliers. What about them? What really matter are the functions of the coefficients, such as long-run effects? the Does sample (thinking of 20 or 30 observatio...
- Thu Aug 31, 2023 8:05 am
- Forum: Econometric Discussions
- Topic: ARDL and multicollinearity
- Replies: 14
- Views: 33977
ARDL and multicollinearity
Hello! Would you agree on the following? "The ARDL approach does not address multicollinearity problems. In fact, when the sample size is relatively small, multicollinearity problems can easily arise when the lag order is set too high". "But, We also are differencing the data when est...
- Sat Feb 17, 2018 7:59 pm
- Forum: Econometric Discussions
- Topic: Delta method
- Replies: 2
- Views: 4483
Re: Delta method
What's the meaning of "Fe ddaethom, fe welon, fe amcangyfrifon"?
I do not trust Google translate at 100%
I do not trust Google translate at 100%
- Fri Feb 16, 2018 3:12 pm
- Forum: Econometric Discussions
- Topic: Delta method
- Replies: 2
- Views: 4483
Delta method
After estimating an ARDL model in eviews, you can ask for the long run coefficients by clicking view > coefficients diagnostic > long run form and bound test. My question is: how standard errors of the long run coefficients are calculated? I know they are related to "Delta method" and I tr...
- Thu Sep 28, 2017 11:34 am
- Forum: Econometric Discussions
- Topic: What is the minimum sample size suggested for...
- Replies: 0
- Views: 2588
What is the minimum sample size suggested for...
What is the minimum sample size suggested for cross sectional analysis, time series analysis, and panel data analysis?
Thanks!
Thanks!
- Fri Aug 04, 2017 12:55 pm
- Forum: Econometric Discussions
- Topic: ARDL in Eview 9 and 10.
- Replies: 5
- Views: 10440
Re: ARDL in Eview 9 and 10.
Did it in Excel!
- Fri Aug 04, 2017 6:46 am
- Forum: Econometric Discussions
- Topic: ARDL in Eview 9 and 10.
- Replies: 5
- Views: 10440
Re: ARDL in Eview 9 and 10.
LOL. I used its results over Stata on my thesis thinking that they were better.
- Thu Aug 03, 2017 7:52 pm
- Forum: Econometric Discussions
- Topic: ARDL in Eview 9 and 10.
- Replies: 5
- Views: 10440
Re: ARDL in Eview 9 and 10.
So. ARDL short/long run coeficients and bound test before Eviews 10 are wrong?
- Thu Aug 03, 2017 5:52 pm
- Forum: Econometric Discussions
- Topic: ARDL in Eview 9 and 10.
- Replies: 5
- Views: 10440
ARDL in Eview 9 and 10.
In Eviews 9, after estimating an ARDL model, it is easy to distinguish between the short term coeficients and the long term coeficients. In eviews 10, however, I have problems with the short term dynamics. I mean the short term coeficients are the one in the "ECM regression" or the ones in...