Search found 5 matches

by linluoau
Mon Oct 28, 2019 7:56 pm
Forum: Econometric Discussions
Topic: EC estimation
Replies: 0
Views: 227

EC estimation

Hi Helpers Suppose I have a number of I(0) and I(1) variables, of which are cointegrated in some order. I am only interested in building a model for one I(1) variable, which means I only need to estimate a single rather than a vector of equations. My question is if I can use the ec command to do thi...
by linluoau
Thu Oct 24, 2019 12:43 am
Forum: Econometric Discussions
Topic: Johansen cointegration test
Replies: 0
Views: 296

Johansen cointegration test

Hi Helpers I was trying to test for cointegration for two variables. But I got the following results. Can someone explain how this is possible? Does this mean there is no cointegration between the two? Thank you Sample (adjusted): 9/01/1998 6/01/2019 Included observations: 84 after adjustments Trend...
by linluoau
Mon May 27, 2019 6:01 am
Forum: Estimation
Topic: State Space modelling
Replies: 2
Views: 663

State Space modelling

Hi All I have asked this before but got no reply. I want to estimate nairu with a state space model. The model is specified as sspace ssnairu ssnairu.append cpi = c(11)*cpie+c(12)*cpi(-1)+c(13)*cpi(-2)+c(14)*cpi(-3)+c(15)*ulc(-1)+c(16)*((rue-nairu)/rue)+c(17)*d(rue(-1))/rue+c(18)*(pm(-1)-pm(-2))+[va...
by linluoau
Mon May 13, 2019 4:48 am
Forum: Econometric Discussions
Topic: Estimating NAIRU using state space model
Replies: 0
Views: 602

Estimating NAIRU using state space model

Hi Can someone please help me on my estimation of nairu using state space model. The models are sspace ssnairu ssnairu.append cpi = c(11)*cpie+c(12)*cpi(-1)+c(13)*cpi(-2)+c(14)*cpi(-3)+c(15)*ulc(-1)+c(16)*((rue-nairu)/rue)+c(17)*d(rue(-1))/rue+c(18)*(pm(-1)-pm(-2))+[var=exp(c(110))] ssnairu.append u...
by linluoau
Fri Apr 26, 2019 6:30 pm
Forum: Estimation
Topic: Help for state space modelling
Replies: 0
Views: 954

Help for state space modelling

Hi Can someone help me with my NAIRU estimation. I tried to code the model as follows sspace ssnairu 'ssnairu.append cpi = c(2)*cpihp+c(3)*cpi(-1)+c(4)*cpi(-2)+c(5)*cpi(-3)+c(6)*ulc(-1)+c(7)*((rue-nairu)/rue)+c(8)*d(rue(-1))/rue+c(9)*(pm(-1)-pm(-2)) 'ssnairu.append ulc = c(10)*cpihp+c(11)*cpi(-1)+c(...

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