## Search found 48 matches

Tue Oct 08, 2019 11:48 am
Forum: Econometric Discussions
Topic: Vector Error Correction Model (VECM)
Replies: 5
Views: 313

### Re: Vector Error Correction Model (VECM)

Yes. The Johansen test is done on the VECM representation.
Sun Oct 06, 2019 2:58 pm
Forum: Econometric Discussions
Topic: Vector Error Correction Model (VECM)
Replies: 5
Views: 313

### Re: Vector Error Correction Model (VECM)

Why do you need peer-reviewed journals to show this? You can do so yourself directly. It's pretty rudimentary. I'll give you the case for p = 1 and p = 2. You can use mathematical induction or a brute force method to demonstrate the general case. VAR(1) => Y_t = Gamma * Y_{t-1} + Beta * X + eps_t = ...
Fri Apr 19, 2019 11:47 am
Forum: Estimation
Topic: ARDL Model Estimation Problem
Replies: 1
Views: 425

### Re: ARDL Model Estimation Problem

Hi! The reason that you don't see the constant or trend terms in the long-run levels equation is due to the fact that you are estimating ARDL using the deterministic scheme 5 which does not subject the constant and the trend to the long-run restriction. In other words, the constant and trend are NOT...
Wed Mar 20, 2019 8:10 am
Forum: Estimation
Topic: ARDL Substituted Coefficients
Replies: 4
Views: 661

### Re: ARDL Substituted Coefficients

Ah! I think I understand your point now. What you are claiming is "incorrect" is in fact the Error Correction Form (ECM) of the ARDL model. And you are right! The ECM is NOT equal to the cointegrating equation that we display in the outputs we have pasted earlier, namely. Cointegrating Equ...
Thu Mar 14, 2019 7:54 am
Forum: Estimation
Topic: ARDL Substituted Coefficients
Replies: 4
Views: 661

### Re: ARDL Substituted Coefficients

Hi Jamel, I'm not entirely sure how you're obtaining that output, but when I run the estimation on my end, the output I receive is: ---------- Estimation Command: ========================= ARDL @FL(REALCONS,1) @FL(REALGDP,1) @ Estimation Equation: ========================= REALCONS = C(1)*REALCONS(-...
Fri Mar 08, 2019 12:23 pm
Forum: Suggestions and Requests
Topic: EViews 11: DHF seasonal unit root test
Replies: 3
Views: 561

### Re: EViews 11: DHF seasonal unit root test

Hi! At the moment we've chosen to only support HEGY, Likelihood HEGY, Canova-Hansen, and the Variance Ratio seasonal unit root tests. Following Ghysels, Lee, and Noh (1994) we've decided against initial support for the DHF test. This is by no means a permanent decision and we may in fact decide to s...
Wed Mar 06, 2019 9:46 am
Forum: Econometric Discussions
Topic: ARDL model - ECM regression
Replies: 3
Views: 534

### Re: ARDL model - ECM regression

What form of the ECM were you expecting? Theoretically transforming the ARDL equation to an ECM equation results in the form you are seeing in the EViews output. I suggest you take a look at our 3-part blog series on ARDL estimation to understand why this is the case. This conversion from the ARDL e...
Sun Mar 03, 2019 7:26 am
Forum: Econometric Discussions
Topic: ARDL model - ECM regression
Replies: 3
Views: 534

### Re: ARDL model - ECM regression

Can you please provide a copy of your workfile and/or some screenshots for context?
Wed Feb 06, 2019 11:14 am
Forum: Econometric Discussions
Topic: Unit root test for autocorrelation
Replies: 3
Views: 595

### Re: Unit root test for autocorrelation

To determine if residuals are serially correlated, you must use tests designed to test for this specifically. The most famous of these tests is the Durbin-Watson, but you should probably use the LM tests proposed by White, Breusch-Pagan-Godfrey, Harvey, and so on. Note that if you are testing for un...
Fri Dec 28, 2018 11:05 am
Forum: Econometric Discussions
Topic: HI ! Anyone suggest me
Replies: 2
Views: 607

### Re: HI ! Anyone suggest me

Because the variables which are missing from the ECM regression were most likely estimated as having 0 lag. In this case, they would be captured by the CointEq(-1) term entirely and would not have transitory effects (differences) as the other variables do.
Wed Dec 05, 2018 4:44 pm
Forum: Programming
Topic: Adjusting short run equation in VECM
Replies: 1
Views: 435

### Re: Adjusting short run equation in VECM

The differencing that happens is a byproduct of the theoretical construction. In other words, even if you create a variable series z = x-x(-4) and use said series to specify your VECM, you will find that your transitory portion of the VECM will be specified in terms of lagged differences D(z) = z-z(...
Tue Dec 04, 2018 12:15 pm
Forum: Estimation
Topic: Informations about Signal Coefficients on a VEC Output
Replies: 6
Views: 814

### Re: Informations about Signal Coefficients on a VEC Output

If I understand your question correctly, you are wondering about the alpha*beta' partialization of the cointegrating matrix? If this indeed the case, then the answer is no since alpha*beta' = -0.402196 for this co-integrating relationship. In other words,-1.217436 is an element of beta, which is the...
Tue Dec 04, 2018 8:35 am
Forum: Estimation
Topic: Informations about Signal Coefficients on a VEC Output
Replies: 6
Views: 814

### Re: Informations about Signal Coefficients on a VEC Output

Indeed. In fact, if you go to View and then Representations, and search among that output, you'll see that the VEC equation for your co-integrating relationship is in fact: D(LPE)=-0.402196*(LPE(-1)-1.217436*LPG(-1)-0.206260*LPS(-1)+1.193296)+0.442810*D(LPE(-1))-0.267557*D(LPG(-1)) ... etc
Tue Dec 04, 2018 8:19 am
Forum: Estimation
Topic: Informations about Signal Coefficients on a VEC Output
Replies: 6
Views: 814

### Re: Informations about Signal Coefficients on a VEC Output

If your underlying question is what is the actual co-integrating relationship, then yes, the signs are in fact reversed. Thus, in your case, the co-integrating relationship is

Code: Select all

`LPE(-1) = 1.217436*LPG(-1) + 0.206260*LPS(-1) - 1.193296`
Mon Nov 26, 2018 5:16 pm
Forum: Estimation
Topic: Obtaining weights with Principal component analysis
Replies: 6
Views: 4972

### Re: Obtaining weights with Principal component analysis

I did have another more general question - i understand that EViews can report both the loadings and the eigenvectors, why would these be the same when using the covariance method of PCA? The reason that loadings and eigenvectors can sometimes be identical is because a loading vector is just a scal...