Search found 6 matches

by iliasvalasop
Wed Dec 18, 2013 10:20 am
Forum: Econometric Discussions
Topic: cointegration-johansen test
Replies: 0
Views: 889

cointegration-johansen test

if trace and maximum eigenvalue test do not agree with the number of cointegrating eqns what should be my conclusion?
thank you for your time
by iliasvalasop
Sat Dec 07, 2013 12:01 pm
Forum: Econometric Discussions
Topic: Elliot- Rothenberg-Stock unit root test
Replies: 2
Views: 4332

Elliot- Rothenberg-Stock unit root test

I was asked to to a more powerful unit root test on my data than ADF and Phillips-Perron. Elliot- Rothenberg-Stock unit root test was the one pointed out and I was reading carefully the User Guide2 but i didn't find out what my results mean, because I am not familiar to the test. this is the table: ...
by iliasvalasop
Fri Dec 06, 2013 1:01 pm
Forum: Estimation
Topic: ADF tests and cointegration inquiry
Replies: 5
Views: 3806

Re: ADF tests and cointegration inquiry

there is a test that refers to common unit root. I examined all the variables about unit roots and their differences but the question is whether i can come to a conclusion with this: Null Hypothesis: Unit root (common unit root process) Series: LOGGDP, LOGGDP(-1), DEBT_GDP(-1) Sample: 1948 2014 Exog...
by iliasvalasop
Tue Dec 03, 2013 3:34 am
Forum: Estimation
Topic: ADF tests and cointegration inquiry
Replies: 5
Views: 3806

Re: ADF tests and cointegration inquiry

• yt = β0 + β1 yt-1 + β2 dt-1 + ε3t ,where yt = log(GDP) and dt= Debt /GDP i want to test whether this has a unit root or not. all numbers are known except the disturbance term ofcourse . i ran it with the ls command and then i cannot make the ADF test. I know we have to check when 1- β1L is 0 and i...
by iliasvalasop
Mon Nov 18, 2013 3:33 am
Forum: Estimation
Topic: ADF tests and cointegration inquiry
Replies: 5
Views: 3806

ADF tests and cointegration inquiry

I want to run this estimation :ls loggdp c loggdp(-1) logdt(-1) , where loggdp is calculated in excel as well as logdt which is the log of Debt/GDP. in this estimation I am asked to investigate whether there is a unit root(Dickey- Fuller test) and cointegration. I wanted to ask you how to do this. U...
by iliasvalasop
Fri Oct 18, 2013 5:45 am
Forum: Suggestions and Requests
Topic: dummies in regressions
Replies: 1
Views: 1692

dummies in regressions

I am trying to form an equation like this: GDP=b0 + b1GDP(-1) +b2Dummy1 + b3Dummy2 +...+Ut(error term), where dummies refer to a specific unnual period of debt, i.e. Dummy1 refers to debt from 1970 to 1974 and the same goes for the other dummies.Even though I have created the dummies with the @durin...

Go to advanced search