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by startz
Tue Jan 09, 2024 7:06 am
Forum: Programming
Topic: If - Else code
Replies: 5
Views: 5929

Re: If - Else code

I think you don't want equal signs inside @recode.
by startz
Sun Sep 03, 2023 2:25 pm
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 23057

Re: ARDL and multicollinearity

Makes sense
by startz
Sun Sep 03, 2023 1:51 pm
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 23057

Re: ARDL and multicollinearity

Okay. So it is nice if there is little multicollinearity. It is also nice if we have many observations and other things. For a given dataset and a correctly specified number of lags, ols is the best we can do…multicollinearity or not.
by startz
Sun Sep 03, 2023 1:24 pm
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 23057

Re: ARDL and multicollinearity

Specifying lags is part of specifying a model.

You still haven’t said why you think an estimate with multicollinearity is bad.
by startz
Sat Sep 02, 2023 9:51 pm
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 23057

Re: ARDL and multicollinearity

Correct. But this is a consequence of the data and the model. Basically, ols is optimal in the presence of multicollinearity.
by startz
Sat Sep 02, 2023 1:03 pm
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 23057

Re: ARDL and multicollinearity

Yes. But these problems have very different consequences. What problem do you think multicollinearity causes?
by startz
Thu Aug 31, 2023 9:28 am
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 23057

Re: ARDL and multicollinearity

You are right that there is a distinction. Of course, once you've run the ARDL you get estimates and standard errors for trhe case at hand.

In principle 20 or 30 observations might be okay. In practice I would say it likely isn't enough.
by startz
Thu Aug 31, 2023 8:33 am
Forum: Econometric Discussions
Topic: ARDL and multicollinearity
Replies: 14
Views: 23057

Re: ARDL and multicollinearity

A first question is why you care about multicollinearity??? For many macro time series determining exact timing of effects is quite hard. So ARDL models do have a lot of multicollinearity. That means individual coefficients are not well identified. But functions of the coefficients, such as long-run...
by startz
Thu Aug 03, 2023 7:04 am
Forum: Estimation
Topic: Syntax Error
Replies: 1
Views: 3318

Re: Syntax Error

Are you missing the multiplication sign after c(3)?
by startz
Tue Jul 25, 2023 7:02 am
Forum: Programming
Topic: Dummy variable UP/Down
Replies: 9
Views: 6738

Re: Dummy variable UP/Down

Gareth's suggestion does what you ask. In your file you have the dummy stay zero if the return stays constant after it first falls. Is that what you want?
by startz
Sun Jul 23, 2023 5:29 pm
Forum: Bug Reports
Topic: Near singular matrix in unit root test
Replies: 1
Views: 3838

Near singular matrix in unit root test

Run a unit root test on lowFreq in the attached work file. You get an error message. You can make the error message go away by reducing the maximum number of lags. Nonetheless, I think this is a bug.
by startz
Mon Jul 17, 2023 2:57 pm
Forum: Programming
Topic: xget and dataframes
Replies: 5
Views: 5552

Re: xget and dataframes

You might want to take a look at https://cran.r-project.org/web/packages/EviewsR/vignettes/EviewsR.html, which may give you a different, but easier, approach.
by startz
Mon Jul 17, 2023 6:42 am
Forum: Estimation
Topic: is an illegal or reserved name.
Replies: 2
Views: 4218

Re: is an illegal or reserved name.

Does the message tell you the name that is causing the problem?
by startz
Wed May 17, 2023 6:21 pm
Forum: Estimation
Topic: Different result with P(1-P) and P*(1-P)
Replies: 3
Views: 4089

Re: Different result with P(1-P) and P*(1-P)

Code: Select all

P(1-P)


means P lagged 1-P periods, not multiplication.

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