Search found 2 matches
- Tue Feb 11, 2014 9:04 am
- Forum: Econometric Discussions
- Topic: How I choose the result of Unit Root Test ?
- Replies: 1
- Views: 1940
Re: How I choose the result of Unit Root Test ?
I am not a expert in econometrics. However, best way might be to use other methods like Phillips-Perron (PP) or Kwiatkowski–Phillips–Schmidt–Shin (KPSS). I have seen in some articles used all 3 methods (i.e. ADF, PP, KPSS). Most probably you may conclude that at I(0) variable is stationary.
- Tue Feb 11, 2014 8:23 am
- Forum: Econometric Discussions
- Topic: Non-cointegrated variables and OLS estimates
- Replies: 0
- Views: 1437
Non-cointegrated variables and OLS estimates
Hi, I am new to econometrics, I am just trying to estimate the linear regression using OLS method. I used Quarterly time-series data for 30years (120 data points). d(Y)=B0+B1*d(X1)+B2*d(X2)+B3*d(X3)+E. All I have used are I(1) variables as I(0) are non-stationery. I used Engle–Granger two-step metho...