EViews.com

That specification is almost certainly not correct. You probably want:

Code: Select all

stock c wti lag1wti lag2wti lag1stock lag2stock

That fixed it, thank you very much.

Do you have a constant/intercept?

Hi, yes I do.

When estimating I type in : STOCK = C(1) + WTI(2) + Lag1WTI(3) + Lag2WTI(4) + Lag1Stock(5) + Lag2Stock(6)

Additionally, when I add lags the R square becomes more negative.

Hi all, I'm running least squares estimations using WTI data and stock market data. I have adjusted the data for inflation. Logged both data sets, took the first difference to find the rate of growth, and multiplied the data by 100. When I've regressed the variables, I get a return of a negative r s...

Sounds to me like you've got it!

Thank you so much.
Sorry for wasting your time on something so simple.

I think you misunderstand what the null hypothesis is. Yeah... sorry about that. I need more sleep. Coming back to the results. If I'm thinking right this time. In the F-test I have checked if the coefficient of WTI is equal to 0 which means that the effect on CPI is 0 ( unaffected). The results fr...

Do an F-test on all the WTI variables. One possibility is that they are jointly significant even though the timing of the effect is unclear. This number of lags is asking a lot from 45 observations. Hi. Thank you for answering. I've performed the F-test : Both with the lagged CPI variables and with...

Hello all. I'm a final year Economics student writing my dissertation. The question is : To what extent is the change in growth of a macroeconomic variable ( CPI , GDP growth, Unemployment Rate) dependent on the growth of WTI ( Crude oil price) I have problems when regressing the United states CPI. ...