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Can coone help me here with the interpretation?

since there is a long-term equilibrium, does it mean, that in the long-run exchange rates can not influence the price index as they always balance back to the equilibrium?

I also have a question about the VECM interpretation. I understand about the speed of adjustment interpretation, which is signifcant in my case. I am just not sure how to interprete in which direction the adjustments goes. My OLS regression on first differenced variables indicated a negative relatio...

I would like you to ask about the implications of a bad VECM model. I constructed a pairvise VECM model. Checking on robustness I found the VECM model very weak with violations against normality, heteroscedasdecity and autocorrelation.. Now I did PROC => MAKE SYSTEM => ORDER BY VARIABLE I copied the...

I am wondering how you estimate the optimal lag length.

Fot the VEC Granger test you estimate the optimal lag length with a VAR model at level and for a VAR Grangertest you estimate the optimal lag length with a VAR model at first differences. Is that correct?

For the Johansen Co-integration test, I determined the optimal lag length by creating a VAR in levels. I found out that there is no co-integration between the variables and want to run a granger casuality test. Now, when I want to rung a Granger Causality test I create VAR with first differenced log...

I have a question according to the logic behind the co-integrationt test. I want to test dhe influence of GDP on a price index. Since I suppose the effect to be deferred, I uses a lag on the first differenced GDP in an OLS regression => d(GDP(-1)) My question is, do I also use GDP with a lag in the ...

Hello together, I have a question regarding the interpretation of a dummy variable. I run three regressions, all with the same return index as dependent variabel. each regression had 2 regressors: GDP growth and change in USD/exchange rate of one specific country each. In addition, for each regressi...

Sorry, my mistake. The coefficients are not changing, but the p-values are changing marginally when selecting Coefficient Covariance Matrix "White". The Whtie test though, shows unchanged statistics and still indicates Heteroscedasticity. Only when I uncheck ‘Include White cross terms’, my...

BTW, if I uncheck ‘Include White cross terms’ the results suggest no Heteroscedasticity ...

Can I just do this? When should you include it and when not?

Alright thanks you for the hint! I selected now for the Coefficient Covariance Matrix "White". I was aware, that my coefficients would only change marginal, but is it also normal that the White test for heteroscedacity spill out the same results? I am wondering what I can do now. All my da...

I have run a regression in eviews 7, which shows signs of Heteroskedasticity, according to the White test. I have already log data, so I wish to includeWhite’s modified standard error estimates in EViews. When I hit the option button in the estimation window, I cannot find the ‘Heteroskedasticity con...

To state the question simple, is it possible for two variables to have two cointegraded relations?
Or can I derive no conclusions from the test results at hand?

Hi Siewwen, thanks for your reply. Regarding the model, I think the right approach is to include all variables with the neccessary differences as soon as it is economically considereable, so this one ART c D(GBP_CNY,2) D(CH_UKREAL(-1)) CRISIS should be the right one. To include as ar(1) model is jus...

Is it also appropriate to include the AR(1) term, if just few, say 2 out of 4 indeoendent variables suffer from autocorrelation? And also, if individual variables in isolation show autocorrelation, but the overall Durbin Watson statistic of the multivariate regression indicates no autocorrelation, i...

still wondering...