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Dear CF Tang, I attach herewith the result tables of my research. I can interpret the long-run relationships, however the different significance levels of the coefficients in the short-run relationships and error corrections are challenging me. Could you give me a hand? I expect to have your answer ...

Dear CF Tang, I have other questions relating to short-run dynamics that when I summed up the coefficients as you recommended, the t-value was too low (not significant), however, if I increase lag interval (e.g. to (1 5)), there is coefficient of diferrent lag length which are significant. Could I t...

Dear CF. Tang, I do appreciate your help. As you suggested to use ARDL, I just read a little about it before, however, I should complete my research soon, thus i think currently I should follow the Johansen and VECM as I used before. 1. "According to the above result table, I think the equation...

Dear CF Tang, Could you please have a look at the result table of VEC below: Vector Error Correction Estimates Cointegrating Eq: CointEq1 PRICE(-1) 1.000000 POIL(-1) -0.084138 (0.00912) [-9.22957] C -8.038052 Error Correction: D(PRICE) D(POIL) CointEq1 -0.052225 0.152461 (0.01264) (0.09620) [-4.1327...

Dear CF Tang, could you please do me a favor? As you mentioned before that "Strictly speaking, the existing critical values for Johansen's cointegration test are not suitable when dummy variable(s) is included.", I did include the dummies both as endogenous and exogenous variables in the t...

Dear CF Tang, I did order a book from the internet already. That book must be very useful for me. Thank you very much for everything you did for me recently.

Thank you for your answers. I found out the solution for the question regarding Engle-Granger test with critical values.
Unfortunately, I cannot find the book your recommended for reading.

It is so kind of you! 1. "the level VAR suggested that 3 lags is the best, then you should use lags 2 for your Johansen's cointegration test." Just in one case is that the best lag lag suggested by VAR is lag "0" (top of the criterion table), then I should use (0, 0) in the Johan...

Thank you for your suggestions. In fact, I am trying to reach the results of the research, I have to present in early Jun. I was really confusable myself of what I am doing. However, my questions were not in right order, I have reason for that. Let me clear all of your questions: Objective of my res...

Dear, could someone help me to confirm this? In the cointegration result (attached file), which coefficients, Normalized cointegrating coefficients or Adjusted coefficients, should I use for my conclusion? And also, please help to explain me how to understand the values of: Price, 1.000000 (in Norma...

I come up with this VAR test results: Vector Autoregression Estimates Date: 05/21/09 Time: 09:51 Sample (adjusted): 3 441 Included observations: 439 after adjustments Standard errors in ( ) & t-statistics in [ ] PRICE POIL PRICE(-1) 1.057410 0.423231 (0.05141) (0.39235) [ 20.5663] [ 1.07871] PRI...

Dear Friends, in the book: New Direction in Econometric Practice" by Charemza and Deadman, there is one part says about the two-step procedure (by Engle-Granger) page 132-133: There are two equation 1 (1) and 2 (2) (It is difficult to type the equation form in this web, so I uploaded as attachm...

I just did a test on the stationary condition of the residuals (generated from OLS of two variables, I(1)), the result indicated that residual is only stationary at 10% significance level. Anyone helps me to explain what it means?

Thanks for your introduction of param command. I made it. I highly appreciate that you are with me!

So, it means MLM is not appropriate for solving this low serial correlation in my data. Do you suggest me any method? Might be, check the cointegration relations and using VECM is best. Do you think so?