Search found 4 matches

by Zwangu
Sun Sep 18, 2022 10:02 am
Forum: Econometric Discussions
Topic: Markov Switching Augmented Dickey Fuller (MSADF)
Replies: 0
Views: 9705

Markov Switching Augmented Dickey Fuller (MSADF)

Hi, I am interested in the MSADF test, and i am unable to find anywhere i can implement it. Does anyone have a routine to run the test, or managed to tweak the existing SWITCHREG estimation method for the purpose of running the test? The test i am referring to has been introduced by Hall, Psaradakis...
by Zwangu
Tue Aug 02, 2022 5:49 am
Forum: Econometric Discussions
Topic: ARDL results change?
Replies: 0
Views: 9201

ARDL results change?

Hi there, I am trying to run an ARDL model to establish the existence of a long run result between 2 variables. when i specify Y as the dependent variable and X as a dynamic regressor i fail to find cointegration, the model further fails normality, serial correlation and heteroskedasticity. However,...
by Zwangu
Tue Jul 26, 2022 4:58 am
Forum: Estimation
Topic: ARDL: Stability diagnostics - CUSUM and CUSUM square tests
Replies: 4
Views: 8492

Re: ARDL: Stability diagnostics - CUSUM and CUSUM square tests

Hi there, how did you resolve this? Hi there, I am running an ARDL model. As conducting CUSUM test and CUSUM square test, I dont know why these test only gave results for a smaller sample size. For example, my sample size is from 1990-2014 but these tests only give graphs for 2013-2014. In another c...
by Zwangu
Sun Jul 24, 2022 9:39 am
Forum: Econometric Discussions
Topic: how to remove heteroskedasticity in ARDL model
Replies: 1
Views: 8127

Re: how to remove heteroskedasticity in ARDL model

Hi there,

were you able to resolve this?

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