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by UBS
Thu Mar 11, 2021 4:29 pm
Forum: Econometric Discussions
Topic: Using non stationary independent variables
Replies: 0
Views: 827

Using non stationary independent variables

Dear Time Series/Regression Experts: Is it econometrically sound/okay to use non-stationary independent variables in a time-series (ols) regression? Here's the following delimma/options using the same starting raw/untransformed original data series: 1. I have a regression whereby the dependent varia...
by UBS
Sat Feb 20, 2021 1:01 pm
Forum: Estimation
Topic: Forecasting with VECM Model
Replies: 2
Views: 451

Re: Forecasting with VECM Model

Thanks, that worked on my end too. Simple enough!
by UBS
Sat Feb 20, 2021 11:22 am
Forum: Estimation
Topic: Forecasting with VECM Model
Replies: 2
Views: 451

Forecasting with VECM Model

Hi, i have two variables - hpi and sp500. My training data set is from 2011m2 to 2019m12. Using a VAR VECM model I am trying to forecast hpi from 2020m1 through 2020m11. I already have the forecasts for sp500 through 2020m11. But I keep getting this error in Eviews (see attached). Please advice. evi...

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