Search found 64 matches

by d952
Mon Jul 30, 2012 7:12 am
Forum: Econometric Discussions
Topic: panel Granger causality model
Replies: 21
Views: 19439

Re: panel Granger causality model

Dear Mohammad

Yes, true, but here we were discussing about panel VECM approach not ARDL model, ARDL model doesnt support panel estimation.

Regards
Niaz
by d952
Mon Jul 30, 2012 7:10 am
Forum: Econometric Discussions
Topic: panel Granger causality model
Replies: 21
Views: 19439

Re: panel Granger causality model

Dear Mohammad

yes, true, but here we were discussing about the panel VECM approach not ARDL model!

Regards
Niaz
by d952
Sat Jul 28, 2012 8:45 am
Forum: Econometric Discussions
Topic: panel Granger causality model
Replies: 21
Views: 19439

Re: panel Granger causality model

Dear Mohammad

When we apply VECM model then there is seperate short run coeficients but not for the long run. ECM is error correction term of the model and indicates the long run effect of the explanatory variables on dependant variable.

Best
Niaz
by d952
Mon May 07, 2012 4:19 am
Forum: Econometric Discussions
Topic: panel Granger causality model
Replies: 21
Views: 19439

Re: panel Granger causality model

Dipti, another solution also is changing of the number of intrumental variables lags, so 1.remove intercept, 2. change the number of lags, and 3.use another estimation option (for this last one im not sure its a correct way or not) until you dont have any multicilinearity and serial correlation! hop...
by d952
Sun May 06, 2012 1:26 pm
Forum: Econometric Discussions
Topic: panel Granger causality model
Replies: 21
Views: 19439

Re: panel Granger causality model

Dear Qaisar Im not sure exactly what do you mean, the ECT (error correction term)is the long run effect of y and z together on x, the procedure that I explained above is all about how to obtain ECT in a panel framework. if your meaning is that how can you obtain the long run effect of y and z on x s...
by d952
Sun Apr 29, 2012 3:35 pm
Forum: Econometric Discussions
Topic: panel Granger causality model
Replies: 21
Views: 19439

Re: panel Granger causality model

About FMOLS test also be carefull about the classical assumption, so consider the Durbin Watson result (in your sample is good) and also check the residualts normality... its just the same as OLS, if the probabilty is less that 0.1 then its not good!
by d952
Sun Apr 29, 2012 2:43 pm
Forum: Econometric Discussions
Topic: panel Granger causality model
Replies: 21
Views: 19439

Re: panel Granger causality model

Hi, Im sorry for being late! The process that you applied is correct initially, but in terms of doing panel GMM you should be very carefull about some issues: 1. you should be carefull about fixed effects, so its better you choose the option of time dummies (as I see in your result you didnt choose ...
by d952
Tue Apr 24, 2012 4:00 am
Forum: Econometric Discussions
Topic: panel Granger causality model
Replies: 21
Views: 19439

Re: panel Granger causality model

By the way...if you do a google serach on `Two-step Engle-Granger procedure´ you will ger more guids about it.
by d952
Mon Apr 23, 2012 4:49 pm
Forum: Econometric Discussions
Topic: panel Granger causality model
Replies: 21
Views: 19439

Re: panel Granger causality model

this is something that I did: 1. make a normal eviews workfile (non panel) and do FMOLS for each country and save their residuals as (ect) 2. make another eviews workfile (a panel workfile) and use dynamic panel data model (panel GMM), for instance, if you have three variables: x,y,z, then you need ...
by d952
Sat Apr 21, 2012 3:11 pm
Forum: Estimation
Topic: Panel data
Replies: 9
Views: 3657

Re: Panel data

by the way... I forgot to say that when I use fixed effects model, then the 2step procedure is near singular matrix, so I applied 1 step model and Sargan test reject the normality of the result!
by d952
Sat Apr 21, 2012 2:13 pm
Forum: Estimation
Topic: Panel data
Replies: 9
Views: 3657

Re: Panel data

Dear Eviews I have some questions about applying Dynamic panel data model! firsty, I would like to know that in a panel GMM estimation I should use the raw data or log of the data? I tried to use raw data since there is differenced option in the procedure, but my results look like the results of raw...
by d952
Sat Apr 21, 2012 1:05 pm
Forum: Econometric Discussions
Topic: panel Granger causality model
Replies: 21
Views: 19439

Re: panel Granger causality model

There is not a buit in method in eviews for doing panel Granger causality test, You should apply a two step Engle Granger procedure, first perform a FMOLS or DOLS for each country, then use their residuals as ECT and apply a dynamic panel data model (panel GMM) to estimate a short and long run model...
by d952
Wed Jan 11, 2012 6:15 am
Forum: Add-in Support
Topic: ZAURoot (Zivot-Andrews Unit Root test)
Replies: 89
Views: 141688

Re: ZAURoot (Zivot-Andrews Unit Root test)

as the last question, would you please guide me to interprete the results. here I have some confusing results, for example my t-statistics is -2.59 and 10% critical value is -4.58, therefore the null can not be rejected, but the pvalue is 0.08 which indicates that the null is rejected at 10% signifi...
by d952
Wed Jan 11, 2012 3:41 am
Forum: Add-in Support
Topic: ZAURoot (Zivot-Andrews Unit Root test)
Replies: 89
Views: 141688

Re: ZAURoot (Zivot-Andrews Unit Root test)

Thanks alot, the problem is solved, I uninstalled and reinstalled in again and now its working!
by d952
Tue Jan 10, 2012 3:30 pm
Forum: Add-in Support
Topic: ZAURoot (Zivot-Andrews Unit Root test)
Replies: 89
Views: 141688

Re: ZAURoot (Zivot-Andrews Unit Root test)

workfile.wf1
(128.94 KiB) Downloaded 538 times


here is my workfile, Im going to perform ZAUROOT for lnco, lngdp, lnpo!

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