Search found 32 matches

by NipNip
Sun Sep 03, 2023 2:01 pm
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 29598

Re: ARDL and multicollinearity

Even if multicollinearity translates to "instability in the coefficients", we might need to just accepted it because of the available data and as long as the model specification has the best fit. Particularly when working with time-series in a regression setting.
by NipNip
Sun Sep 03, 2023 1:47 pm
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 29598

Re: ARDL and multicollinearity

It is bad because we are not sure about the true effect of the regressors. They can change from one sample to another.
by NipNip
Sun Sep 03, 2023 7:04 am
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 29598

Re: ARDL and multicollinearity

I think you meant "this is a consequence of the data and NOT the model". The model requires lags, tho. So. The issue is how the variables are encoded.
Using lags will come up with multicollinearity. Why time-series analysts are ok with them?
by NipNip
Sat Sep 02, 2023 4:45 pm
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 29598

Re: ARDL and multicollinearity

I think is affects the standard errors of the estimates, which translates to uncertainty on the estimates. Also, Shouldn't this bother us?
Also, OLS can't clearly distinguish the effects of correlated covariates.
Please, correct me if I'm wrong.
by NipNip
Fri Sep 01, 2023 2:11 pm
Forum: Econometric Discussions
Topic: ARDL cases
Replies: 0
Views: 79919

ARDL cases

Hello!
Please, share your experience on when to use restricted/unrestricted intercept/trend.
by NipNip
Fri Sep 01, 2023 8:41 am
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 29598

Re: ARDL and multicollinearity

If the ARDL model has multicollinearity, heteroskedasticity, serial correlation, etc., then any functions from it, say Short-run/Long-run multipliers and so will be affected by these problems. Right?
by NipNip
Thu Aug 31, 2023 9:18 am
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 29598

Re: ARDL and multicollinearity

Thank you, startz. Please, correct me if I'm wrong. There is a distinction between short run and long run multipliers, even Interim/delay multipliers. What about them? What really matter are the functions of the coefficients, such as long-run effects? the Does sample (thinking of 20 or 30 observatio...
by NipNip
Thu Aug 31, 2023 8:05 am
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 29598

ARDL and multicollinearity

Hello! Would you agree on the following? "The ARDL approach does not address multicollinearity problems. In fact, when the sample size is relatively small, multicollinearity problems can easily arise when the lag order is set too high". "But, We also are differencing the data when est...
by NipNip
Sat Feb 17, 2018 7:59 pm
Forum: Econometric Discussions
Topic: Delta method
Replies: 2
Views: 4280

Re: Delta method

What's the meaning of "Fe ddaethom, fe welon, fe amcangyfrifon"?

I do not trust Google translate at 100%
by NipNip
Fri Feb 16, 2018 3:12 pm
Forum: Econometric Discussions
Topic: Delta method
Replies: 2
Views: 4280

Delta method

After estimating an ARDL model in eviews, you can ask for the long run coefficients by clicking view > coefficients diagnostic > long run form and bound test. My question is: how standard errors of the long run coefficients are calculated? I know they are related to "Delta method" and I tr...
by NipNip
Thu Sep 28, 2017 11:34 am
Forum: Econometric Discussions
Topic: What is the minimum sample size suggested for...
Replies: 0
Views: 2463

What is the minimum sample size suggested for...

What is the minimum sample size suggested for cross sectional analysis, time series analysis, and panel data analysis?

Thanks!
by NipNip
Fri Aug 04, 2017 12:55 pm
Forum: Econometric Discussions
Topic: ARDL in Eview 9 and 10.
Replies: 5
Views: 10075

Re: ARDL in Eview 9 and 10.

Did it in Excel! :D
by NipNip
Fri Aug 04, 2017 6:46 am
Forum: Econometric Discussions
Topic: ARDL in Eview 9 and 10.
Replies: 5
Views: 10075

Re: ARDL in Eview 9 and 10.

LOL. I used its results over Stata on my thesis thinking that they were better. :lol:
by NipNip
Thu Aug 03, 2017 7:52 pm
Forum: Econometric Discussions
Topic: ARDL in Eview 9 and 10.
Replies: 5
Views: 10075

Re: ARDL in Eview 9 and 10.

So. ARDL short/long run coeficients and bound test before Eviews 10 are wrong? :shock:
by NipNip
Thu Aug 03, 2017 5:52 pm
Forum: Econometric Discussions
Topic: ARDL in Eview 9 and 10.
Replies: 5
Views: 10075

ARDL in Eview 9 and 10.

In Eviews 9, after estimating an ARDL model, it is easy to distinguish between the short term coeficients and the long term coeficients. In eviews 10, however, I have problems with the short term dynamics. I mean the short term coeficients are the one in the "ECM regression" or the ones in...

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