I managed to see that my dependent variable is I(2) and all the independent variables vare I(1). Would it be possible to use OLS with those I(2) and I(1) variables? Should I use some kind of AR(I)MAX model, ADL model or something else?
Help very much needed, thanks in advance.
Regards, Ondin.
Search found 4 matches
- Mon Aug 16, 2010 6:46 am
- Forum: Econometric Discussions
- Topic: Time-index variable and non-stationarity
- Replies: 5
- Views: 5401
- Fri Aug 13, 2010 11:51 am
- Forum: Econometric Discussions
- Topic: Time-index variable and non-stationarity
- Replies: 5
- Views: 5401
Re: Time-index variable and non-stationarity
Thanks for that information, finally I'm sure about the trending variable, it had been bothering me for a few days! I've tried both 1. and 2. you mentioned in your earlier reply but that did not make ALL the series stationary. I'll check again on that to be 100% sure. Is there anything else I could ...
- Fri Aug 13, 2010 8:20 am
- Forum: Econometric Discussions
- Topic: Time-index variable and non-stationarity
- Replies: 5
- Views: 5401
Re: Time-index variable and non-stationarity
Well, the data I've got show both upward and downward trending. The data is still non-stationary (according to Dickey-Fuller tests) when using first differences. Isn't there somekind of a trend model that could be used in this situation?
- Fri Aug 13, 2010 2:56 am
- Forum: Econometric Discussions
- Topic: Time-index variable and non-stationarity
- Replies: 5
- Views: 5401
Time-index variable and non-stationarity
Hi there. I'm going to run a regression but the time-series are non-stationary. Is it enough to include a time-index variable in the regression to de-trend the data? Or should I transform the data first so that it will be stationary, and then run the regression with the time-index variable? Regards,...