Search found 80 matches
- Fri Jul 31, 2020 3:19 pm
- Forum: Estimation
- Topic: ARDL/ECM Question
- Replies: 23
- Views: 29062
Re: ARDL/ECM Question
Hi, So how do I find the residual results for the ECM/ARDL? Bth the original ARDL and the parsimonious ECM/ARDL use the same seated mod, so I'm guessing they have the same residual result??? The residuals from the contemporaneous and the ECM model are identical. All inferences on the residuals gene...
- Wed Oct 30, 2019 8:32 am
- Forum: Econometric Discussions
- Topic: ARDL Bounds Test T-test
- Replies: 1
- Views: 5789
Re: ARDL Bounds Test T-test
I suggest you start by reading our blog series on ARDL estimation. Here are the links: http://blog.eviews.com/2017/04/autoregressive-distributed-lag-ardl.html?m=1 http://blog.eviews.com/2017/05/autoregressive-distributed-lag-ardl_8.html?m=1 http://blog.eviews.com/2017/05/autoregressive-distributed-l...
- Tue Oct 08, 2019 11:48 am
- Forum: Econometric Discussions
- Topic: Vector Error Correction Model (VECM)
- Replies: 5
- Views: 14392
Re: Vector Error Correction Model (VECM)
Yes. The Johansen test is done on the VECM representation.
- Sun Oct 06, 2019 2:58 pm
- Forum: Econometric Discussions
- Topic: Vector Error Correction Model (VECM)
- Replies: 5
- Views: 14392
Re: Vector Error Correction Model (VECM)
Why do you need peer-reviewed journals to show this? You can do so yourself directly. It's pretty rudimentary. I'll give you the case for p = 1 and p = 2. You can use mathematical induction or a brute force method to demonstrate the general case. VAR(1) => Y_t = Gamma * Y_{t-1} + Beta * X + eps_t = ...
- Fri Apr 19, 2019 11:47 am
- Forum: Estimation
- Topic: ARDL Model Estimation Problem
- Replies: 1
- Views: 2939
Re: ARDL Model Estimation Problem
Hi! The reason that you don't see the constant or trend terms in the long-run levels equation is due to the fact that you are estimating ARDL using the deterministic scheme 5 which does not subject the constant and the trend to the long-run restriction. In other words, the constant and trend are NOT...
- Wed Mar 20, 2019 8:10 am
- Forum: Estimation
- Topic: ARDL Substituted Coefficients
- Replies: 4
- Views: 4823
Re: ARDL Substituted Coefficients
Ah! I think I understand your point now. What you are claiming is "incorrect" is in fact the Error Correction Form (ECM) of the ARDL model. And you are right! The ECM is NOT equal to the cointegrating equation that we display in the outputs we have pasted earlier, namely. Cointegrating Equ...
- Thu Mar 14, 2019 7:54 am
- Forum: Estimation
- Topic: ARDL Substituted Coefficients
- Replies: 4
- Views: 4823
Re: ARDL Substituted Coefficients
Hi Jamel, I'm not entirely sure how you're obtaining that output, but when I run the estimation on my end, the output I receive is: ---------- Estimation Command: ========================= ARDL @FL(REALCONS,1) @FL(REALGDP,1) @ Estimation Equation: ========================= REALCONS = C(1)*REALCONS(-...
- Fri Mar 08, 2019 12:23 pm
- Forum: Suggestions and Requests
- Topic: EViews 11: DHF seasonal unit root test
- Replies: 3
- Views: 12004
Re: EViews 11: DHF seasonal unit root test
Hi! At the moment we've chosen to only support HEGY, Likelihood HEGY, Canova-Hansen, and the Variance Ratio seasonal unit root tests. Following Ghysels, Lee, and Noh (1994) we've decided against initial support for the DHF test. This is by no means a permanent decision and we may in fact decide to s...
- Wed Mar 06, 2019 9:46 am
- Forum: Econometric Discussions
- Topic: ARDL model - ECM regression
- Replies: 3
- Views: 11159
Re: ARDL model - ECM regression
What form of the ECM were you expecting? Theoretically transforming the ARDL equation to an ECM equation results in the form you are seeing in the EViews output. I suggest you take a look at our 3-part blog series on ARDL estimation to understand why this is the case. This conversion from the ARDL e...
- Sun Mar 03, 2019 7:26 am
- Forum: Econometric Discussions
- Topic: ARDL model - ECM regression
- Replies: 3
- Views: 11159
Re: ARDL model - ECM regression
Can you please provide a copy of your workfile and/or some screenshots for context?
- Wed Feb 06, 2019 11:14 am
- Forum: Econometric Discussions
- Topic: Unit root test for autocorrelation
- Replies: 3
- Views: 3833
Re: Unit root test for autocorrelation
To determine if residuals are serially correlated, you must use tests designed to test for this specifically. The most famous of these tests is the Durbin-Watson, but you should probably use the LM tests proposed by White, Breusch-Pagan-Godfrey, Harvey, and so on. Note that if you are testing for un...
- Fri Dec 28, 2018 11:05 am
- Forum: Econometric Discussions
- Topic: HI ! Anyone suggest me
- Replies: 2
- Views: 3384
Re: HI ! Anyone suggest me
Because the variables which are missing from the ECM regression were most likely estimated as having 0 lag. In this case, they would be captured by the CointEq(-1) term entirely and would not have transitory effects (differences) as the other variables do.
- Wed Dec 05, 2018 4:44 pm
- Forum: Programming
- Topic: Adjusting short run equation in VECM
- Replies: 1
- Views: 2583
Re: Adjusting short run equation in VECM
The differencing that happens is a byproduct of the theoretical construction. In other words, even if you create a variable series z = x-x(-4) and use said series to specify your VECM, you will find that your transitory portion of the VECM will be specified in terms of lagged differences D(z) = z-z(...
- Tue Dec 04, 2018 12:15 pm
- Forum: Estimation
- Topic: Informations about Signal Coefficients on a VEC Output
- Replies: 6
- Views: 5609
Re: Informations about Signal Coefficients on a VEC Output
If I understand your question correctly, you are wondering about the alpha*beta' partialization of the cointegrating matrix? If this indeed the case, then the answer is no since alpha*beta' = -0.402196 for this co-integrating relationship. In other words,-1.217436 is an element of beta, which is the...
- Tue Dec 04, 2018 8:35 am
- Forum: Estimation
- Topic: Informations about Signal Coefficients on a VEC Output
- Replies: 6
- Views: 5609
Re: Informations about Signal Coefficients on a VEC Output
Indeed. In fact, if you go to View and then Representations, and search among that output, you'll see that the VEC equation for your co-integrating relationship is in fact: D(LPE)=-0.402196*(LPE(-1)-1.217436*LPG(-1)-0.206260*LPS(-1)+1.193296)+0.442810*D(LPE(-1))-0.267557*D(LPG(-1)) ... etc