Search found 68 matches

by jmagomez
Mon Nov 28, 2016 11:15 am
Forum: Econometric Discussions
Topic: Dummy variables in panel data and serial correlation
Replies: 3
Views: 1893

Re: Dummy variables in panel data and serial correlation

Dear Alexander123,

I will answer by points:

1) I did not understand Antidirector rights with numbers (4,2,5,6...). Is this variable a dummy?
2) You do not have to difference dummies.

And it is normal to observe serial correlation at panel data.

Regards.
by jmagomez
Mon Nov 28, 2016 11:00 am
Forum: Econometric Discussions
Topic: Chow Test Interpretation (Beginner)
Replies: 3
Views: 1994

Re: Chow Test Interpretation (Beginner)

Dear Randysavage,

The image is not available.

Regards.
by jmagomez
Tue Nov 22, 2016 4:43 pm
Forum: Econometric Discussions
Topic: VECM
Replies: 1
Views: 2013

Re: VECM

Dear Debbyk,
You could analyze the residuals of your equation.
Regards.
by jmagomez
Fri Nov 11, 2016 2:12 pm
Forum: Econometric Discussions
Topic: VAR and preliminary steps
Replies: 6
Views: 3764

Re: VAR and preliminary steps

Dear Pablo123,

It would be better if you achieve a good Granger Causality Test. Do you run other tests?

What is the p-value, Jarque-Bera, Colinearity, Cointegration Tests..?

Do you think that your explaining variables are good to understand your explained variable?

Regards.
by jmagomez
Fri Nov 11, 2016 2:08 pm
Forum: Econometric Discussions
Topic: on dummy variable stationarity
Replies: 2
Views: 2243

Re: on dummy variable stationarity

Dear Dexter,

I really don't know any reference (book, paper...) that says to test dummy variables for unit root. But I agree with Professor Giles when he says about dummies are stationary by nature.
But you can try an ADF test just to solve your doubts.

Regards.
by jmagomez
Wed Nov 09, 2016 12:15 pm
Forum: Econometric Discussions
Topic: VAR-GARCH Times series
Replies: 1
Views: 882

Re: VAR-GARCH Times series

Dear jessiismiile, You could analyze these two papers: 1. Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis International Review of Financial Analysis, Volume 45, May 2016, Pages 180-188 Guglielmo Maria Caporale, Fabio Spagnolo, Nicola Spagnolo 2. Oil price uncertainty and ...
by jmagomez
Mon Nov 07, 2016 8:55 am
Forum: Econometric Discussions
Topic: VAR and preliminary steps
Replies: 6
Views: 3764

Re: VAR and preliminary steps

Dear Pablo123,

You're welcome!

Regards.
by jmagomez
Thu Nov 03, 2016 2:39 pm
Forum: Econometric Discussions
Topic: VAR and preliminary steps
Replies: 6
Views: 3764

Re: VAR and preliminary steps

Dear Pablo123, I will try to give you my opinion about your questions: Does this sound like a good way to proceed? A.: Yes, it looks like a good way to proceed. I’m working with quarterly data from Q12004 to Q22016 (ie. 50 observations). The results from the ADF tests show that some of the variables...
by jmagomez
Sun Oct 30, 2016 4:25 pm
Forum: Econometric Discussions
Topic: Problem of classical assumption test
Replies: 1
Views: 1076

Re: Problem of classical assumption test

Dear Bayu_sutikno, There is no magic method to solve these problems. You will have to work over autocorrelation or heteroscedasticity and, probably, will improve the other one. You can add lags of the dependent variable, trying to improve autocorrelation. You can transform variables, using log trans...
by jmagomez
Fri Oct 28, 2016 2:22 pm
Forum: Econometric Discussions
Topic: VAR and transformation of variables
Replies: 1
Views: 1012

Re: VAR and transformation of variables

Dear hk976, First, you have to make unit root tests over all variables. But most important, you have to put all variables that you are working with at a VAR equation without making first difference. And so you can run a Cointegration Test. You are seeking for similar movements between series. You do...
by jmagomez
Wed Oct 26, 2016 8:08 am
Forum: Econometric Discussions
Topic: Calculating elasticity with OLS
Replies: 2
Views: 1668

Re: Calculating elasticity with OLS

Dear j235,

As said by startz, significance matters for elasticity.

If p-value is not relevant, maybe until 0,10, your variable is not relevant for this equation. You have also to analyze residuals, probably there is a lot of informations inside these residuals.

Regards.
by jmagomez
Tue Oct 25, 2016 7:59 am
Forum: Econometric Discussions
Topic: help with unit root testing!
Replies: 14
Views: 3788

Re: help with unit root testing!

Dear Nipnip, There is no rule. Or a paper that discusses the way that you have to follow to adopt one or another unit root test. And this is an unrestricted VAR: Vector Autoregression Estimates Date: 10/25/16 Time: 12:57 Sample (adjusted): 1966 2014 Included observations: 49 after adjustments Standa...
by jmagomez
Tue Oct 25, 2016 7:53 am
Forum: Econometric Discussions
Topic: Optimal number of observations in OLS
Replies: 5
Views: 1795

Re: Optimal number of observations in OLS

Dear j235,

Startz is totally correct. There are no rules. The number of observations that I told you follows my experience.

For Quarterly data, I think that at least 40 observations.

Regards.
by jmagomez
Mon Oct 24, 2016 2:54 pm
Forum: Econometric Discussions
Topic: Optimal number of observations in OLS
Replies: 5
Views: 1795

Re: Optimal number of observations in OLS

Dear j235,

As told by startz, it depends on the circumstances, but from my experience I believe that if your database is a monthly basis, it would take around 120 observations, like industrial production. If they are annual, at least 25 to 30 observations, like gdp.

Regards.

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