Search found 5 matches

Mon Aug 13, 2018 4:04 am
Forum: Econometric Discussions
Topic: Serial correlation in cointegrating relationship
Replies: 2
Views: 1097

Re: Serial correlation in cointegrating relationship

Im very new to ECMs so Im still getting my head around it but I guess the purpose of adding lagged changes of the dependent variable to the ECM is a way of capturing these dynamics? (Ill find out when I look at the final residuals anyway)
Fri Aug 10, 2018 7:13 am
Forum: Econometric Discussions
Topic: Serial correlation in cointegrating relationship
Replies: 2
Views: 1097

Re: Serial correlation in cointegrating relationship

But it doesn't make much sense to add it because of it being a unit root, and it also makes the sign of one of the other variables wrong.
But I just had a thought-I don't have to use the resulting residuals for an ECM? Cant I just create an ARMA model of the residuals and combine it with the LR part?
Fri Aug 10, 2018 6:59 am
Forum: Econometric Discussions
Topic: Serial correlation in cointegrating relationship
Replies: 2
Views: 1097

Serial correlation in cointegrating relationship

HI, I am estimating a cointegrating relationship but I really need to include a lag of the dependent variable in the long run relationship. I was wondering if this was 'allowed'? When I miss it out the resulting residuals are stationary even though they are serially correlated so I can model these d...
Wed Mar 14, 2018 2:55 pm
Forum: Estimation
Topic: Using Quadratic Trend to estimate trend GDP
Replies: 4
Views: 4999

Re: Using Quadratic Trend to estimate trend GDP

So I know this was posted years ago but Ive just stumbled on it and one thought for anyone else reading this now is that there is the idea that GDP could be difference stationary rather than trend stationary
Thu Sep 28, 2017 7:19 am
Forum: Econometric Discussions
Topic: Serial correlation in part of the data only
Replies: 0
Views: 858

Serial correlation in part of the data only

HI, I am learning econometrics and am playing with some datasets to practise different modelling techniques. I have included a lagged dependent variable to remove much of the serial correlation but there is still some obvious serial correlation left but only for part of the series. I did think to ju...