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Hi, I am estimating demand for electricity using VECM. The dependent variable is e_t and independent variables are y_t, p_t, etc. In computing short run elasticity of demand I need to get coefficient for ∆y_t. The VECM estimation output only shows coefficients for lags of the independent variables s...

Hi, I have a single time series which will be divided on the date of the policy change before and after. I want to compare the variances between the two time sections and I am told to do an F test of residual sum of squares. How do I construct the F stat? Do I run ARMA and get the residual sum of sq...

Hi,

I would like to find out how to compare two arma coefficients?
Do I use t test or f test?
Thanks a lot.

Hi,

Is there any code to implement Tsay's procedure in "outliers, level shifts, and variance changes in time series" (1988)?

Thanks a lot.

Hi,

I have a time series and we are going to divide the time series into two time sections on the date the change has happened in the policy.
We want to compare the two time sections in terms of their time series properties.
Could you suggest time series analysis to do this?
Thanks a lot.

Hi,

I am running cointegration and VECM models and I found three of my four endogenous variables are weakly exogenous.
Where do I go from there? How do I simply the model? Do I put restrictions: alphas are zero and run VECM?
Thanks a lot.

KateK

Hi,

I am running Cointegration and VECM analysis on a set of endogenous and exogenous variables.
I am wondering if I have to run unit root tests on exogenous variables as well and make sure they are I(1).
Thanks a lot.

KateK