Search found 3 matches
- Tue Jan 23, 2018 2:16 am
- Forum: Econometric Discussions
- Topic: Small Sample Unit Root Tests
- Replies: 1
- Views: 2699
Small Sample Unit Root Tests
I am working with a very limited set of data, where n = 16 and 28. Does it make sense to employ unit root tests on these variables of interest? Given this strong restriction about limited small sample size, what can be an alternative to this analysis? Does it mean there is no way to interpret the mo...
- Tue Jan 23, 2018 2:12 am
- Forum: Econometric Discussions
- Topic: Zivot Andrews and VAR
- Replies: 0
- Views: 2036
Zivot Andrews and VAR
After performing Zivot Andrews test, I find structural breaks in the data. The test ofcourse takes care of it while employing the unit root test, but how should we incorporate that break in our VAR? Should we create a dummy or is there an alternative to reflect that break in our VAR model. If creati...
- Tue Jan 23, 2018 2:07 am
- Forum: Econometric Discussions
- Topic: Unit Roots in detail.
- Replies: 0
- Views: 1955
Unit Roots in detail.
I am looking for a discussion beyond definitions and how it affects applied econometricians. Sometimes with a trend, the series is I(1) and without its I(0) and vice versa. I don't want to call a variable I(0), just because I want it to be I(0). I really am looking to understand the science behind i...