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What ever you want. Initially it is groups. Then i transformed into martrices because i was not able to solve my problem with groups and series

Sorry for not beeing clear. I have a matrix from wich i want to extract from each row one single element. The element i am looking for is not always in the same columne. The information from which column i want to draw the element is in a series (consisting numerical values). I tried to use @columne...

Dear All, I do have a matrix (KxN) and I need to extract certain elements of this matrix. For each row of the matrix i need just one single element out of all columnes. The problem is that the columne I am looking for is not constant. E.g. For the first 100 rows i might need the values of my matrix ...

hi, if you estimate a VAR, use block exogenity test / granger causality. If you are working with a VECM (which I asume you do as i suppose that rates are I(1), test the significance of the loading coefficients. Without knowing your data / model, i would suggest that GDP is exogenous, as it most like...

hi, one way to get an idea how to model the VECM are the time series you plan to include. if none of them apears to have a drift term you may try to include the constant in the ce only. if the series appear to be a random walk with drift, you may either have the constant in the var or in the ce and ...

or you simply take differences. But i would add, that you make a mistake if you estimate in differences (omitted variable). you should rather test for cointegration

hi, i understand you want to test wheather the constant in the cointegration relation can be restricted. So you are looking wheather cointegration case tow or case one or case 3 or case one is the best description of the DPG. (the "cases" refer to the option available in VECM estimating in...

hi, i do know several kinds of test for this issure. Jarque-Bera test for normalty. This is sometimes regarded as test of mis-specification (Modern Econometrics, R.L.Thomas) Another is the RESET (regression error specification test - see the same text book) The Hausman test is also applied in this c...

While all of the above mentioned arguments do have their merits, one has to keep in mind, what is the origin of AR in resids. If it is the consequence of omitted variables all it migth be better to think what other variables might be includes. Another "cure" is to include more lags (what m...

hi, i would argue that non normalty of resids signals poor specification of the model (Modern econometrics, R.L.Thomas and others)

Dear All, I am confronting a problem regarding cointegration / vector error correction modelling and would appreciate your thoughts and help very much. Estimating a VECM (vector error correction model) I take the following steps: -lag length test in levels -test for cointegration (Johansen´s ML appr...

Dear all, i do have the following question and woud apprecate your kind help very much: If one has a cointegration relation - say of 3 variables - and applies johansen`s procedure: -What sense does it make to include a I(0) variable in the conintegration relation (ce)? -what does change if one inclu...