Search found 6 matches
- Fri Sep 01, 2017 12:59 pm
- Forum: Econometric Discussions
- Topic: Least Squares with Breaks
- Replies: 1
- Views: 2916
Least Squares with Breaks
Hi, I'm new to EViews 10 and saw that there is a new regression method called "Least Squares with Breakpoints" which splits the regression results based on bai-perron test for structural breaks. I have two questions on this: 1- What happens when one of the regressors is non-significant in ...
- Thu Aug 31, 2017 8:39 am
- Forum: Econometric Discussions
- Topic: Trend-stationarity and cointegration
- Replies: 3
- Views: 4614
Re: Trend-stationarity and cointegration
Follow up question. Can anyone help me with the intuition of the different option provided for the different cointegration test (i.e. trend, no trend, constant...) Is it better to test for cointegration using a trend in the equation when dealing with trend-stationary data. What factors would push me...
- Thu Aug 31, 2017 8:36 am
- Forum: Econometric Discussions
- Topic: I(1),I(0) and cointegration
- Replies: 3
- Views: 4392
I(1),I(0) and cointegration
Hi, I'm working with a model in which my dependent variable is I(1), two of my independent variables are I(1), but my third independent variable is I(0), in this case, if I find that the model as a cointegrating vector (using Phillips-Ouliaris), is it still correct to have a model which include a I(...
- Thu Aug 31, 2017 8:02 am
- Forum: Econometric Discussions
- Topic: Trend-stationarity and cointegration
- Replies: 3
- Views: 4614
Re: Trend-stationarity and cointegration
This is exactly what I was looking for. Thanks for sharing this document!
- Wed Aug 30, 2017 3:18 pm
- Forum: Econometric Discussions
- Topic: Trend-stationarity and cointegration
- Replies: 3
- Views: 4614
Trend-stationarity and cointegration
Hi, I'm trying to build a model using 2 trend-stationary variables (my question is also valid for 1 trend-stationary and 1 unit root variables) and was wondering if the regular cointegration methods can be applied to this type of process? From what I understand, two variables are cointegrated if the...
- Wed Aug 30, 2017 3:14 pm
- Forum: Econometric Discussions
- Topic: Johansen Cointegration test on strend stationary series
- Replies: 1
- Views: 2937
Re: Johansen Cointegration test on strend stationary series
Did you find the answer? I'm also puzzled by the use of cointegration methods on trend-stationary data. My understanding is that 2 variables can be cointegrated if they share a common stochastic trend, but is it also the case if they share a deterministic trend?
Thanks.
Thanks.