## Search found 68 matches

Fri Jan 25, 2019 6:32 am
Forum: Econometric Discussions
Topic: Two Cointegration Equations and No Cointegration Equations
Replies: 0
Views: 296

### Two Cointegration Equations and No Cointegration Equations

Dear Fellows, I am developing a model with 3 variables and I had a doubt: I am working with two periods and obtained these results for Cointegration Rank Test: - Trace test indicates 1 cointegrating eqn(s) at the 0.05 level - Max-eigenvalue test indicates 2 cointegration eqn(s) at the 0.05 level Wha...
Fri Jan 11, 2019 4:59 am
Forum: Econometric Discussions
Topic: BIC or AIC lag length criteria
Replies: 0
Views: 269

### BIC or AIC lag length criteria

Dear Fellows,

What is the lag length criteria for VEC that it is more robust (BIC or AIC)?

Best Regards, José.
Thu Jan 10, 2019 2:04 pm
Forum: Estimation
Topic: BIC Schwarz Criteria or AIC Akaike Criteria
Replies: 2
Views: 419

### Re: BIC Schwarz Criteria or AIC Akaike Criteria

Dear Fellows,

Thanks a lot.

And the test that it is more robust is the BIC, isn't it?

Best Regards, José.
Thu Jan 10, 2019 11:33 am
Forum: Estimation
Topic: BIC Schwarz Criteria or AIC Akaike Criteria
Replies: 2
Views: 419

### BIC Schwarz Criteria or AIC Akaike Criteria

Dear Fellows,

Is there any test to evaluate lag criteria (BIC or AIC) for a VEC at Eviews?

And the test that it is more robust is the BIC, isn't it?

Best Regards, José.
Thu Jan 10, 2019 11:31 am
Forum: Econometric Discussions
Topic: Eigenvalue and Trace Tests - VEC
Replies: 0
Views: 224

### Eigenvalue and Trace Tests - VEC

Dear Colleagues,

Two questions:

1) What is the meaning of the Error Correction Term?

2) What is the validity of the Error Correction Term, when Eigenvalue and Trace Tests indicate there is no cointegration relation at a VEC?

Best Regards, José.
Wed Dec 05, 2018 5:50 pm
Forum: Estimation
Topic: Informations about Signal Coefficients on a VEC Output
Replies: 6
Views: 688

### Re: Informations about Signal Coefficients on a VEC Output

Thanks a lot, Mizra!
Tue Dec 04, 2018 12:11 pm
Forum: Estimation
Topic: Informations about Signal Coefficients on a VEC Output
Replies: 6
Views: 688

### Re: Informations about Signal Coefficients on a VEC Output

Thanks a lot, Mizra.

Now a new doubt has arisen, Would the value of the long-term coefficient of lpg (-1) be the multiplication of the coefficient of cointegration -0.402196 by the coefficient of lpg (-1) within the parentheses (-1.217436)?

Best Regards, José.
Tue Dec 04, 2018 8:25 am
Forum: Estimation
Topic: Informations about Signal Coefficients on a VEC Output
Replies: 6
Views: 688

### Re: Informations about Signal Coefficients on a VEC Output

Thanks a lot, Mirza. And the signals from the Error Correction equation stay the same as we see at the Eviews, correct? Error Correction: D(LPE) D(LPG) D(LPS) CointEq1 -0.402196 -0.018656 -0.187457 (0.07665) (0.03805) (0.14247) [-5.24747] [-0.49027] [-1.31576] D(LPE(-1)) 0.442810 0.022982 -0.169454 ...
Tue Dec 04, 2018 7:11 am
Forum: Estimation
Topic: Informations about Signal Coefficients on a VEC Output
Replies: 6
Views: 688

### Informations about Signal Coefficients on a VEC Output

Dear, I want help with the output coefficient signals of my VEC model. In the first part of the cointegration equation, we have some coefficientes with signals, but when I put them on a paper for analysis and discussion, the signals will be exchanged, correct? VEC Estimation Output from Eviews: Vect...
Tue Jan 03, 2017 9:03 am
Forum: Econometric Discussions
Topic: Re:Panel Cointegration
Replies: 4
Views: 1900

### Re: Re:Panel Cointegration

I understand that Yodish is talking about D(0) and D(1) instead of I(0) and I(1). Is this what Yodish are talking about, right?

Regards.
Sun Jan 01, 2017 12:58 pm
Forum: Econometric Discussions
Topic: Re:Panel Cointegration
Replies: 4
Views: 1900

### Re: Re:Panel Cointegration

Dear Yodish,

The answer is yes.

Regards.
Thu Dec 08, 2016 12:33 pm
Forum: Econometric Discussions
Topic: Error Correction VECM
Replies: 4
Views: 1877

### Re: Error Correction VECM

Dear JMar,

First:

The parameter values of the independent variables are positive (the true values are the inverse of what it is shown). All these variables have a positive relation with dependent variable.

Second:

Could you make EigenValue Test?

Regards.
Mon Dec 05, 2016 12:25 pm
Forum: Econometric Discussions
Topic: Error Correction VECM
Replies: 4
Views: 1877

### Re: Error Correction VECM

Dear JMar,

Could you send me these images at the reply.

The link is not working.

Regards.
Mon Dec 05, 2016 12:24 pm
Forum: Econometric Discussions
Topic: Dummy variables in panel data and serial correlation
Replies: 3
Views: 1892

### Re: Dummy variables in panel data and serial correlation

Dear Alexander 123,

You must put without taking first difference. So you can analyze the relations between variables with all information available.

Regards.
Mon Dec 05, 2016 12:22 pm
Forum: Econometric Discussions
Topic: Chow Test Interpretation (Beginner)
Replies: 3
Views: 1992

### Re: Chow Test Interpretation (Beginner)

Sorry, Randysavage.

But It is not working.

Regards.

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