Problem with non-stationary series
Posted: Thu Aug 11, 2011 2:56 am
Hi everyone,
i'm trying to estimate the long-run elasticities between over-night stays (logier) and the real exchange rate index (index). I have monthly data. Both series are non-stationary and the over-night stays show high seasonality.
However I'm not sure how to do this. I first built the log's and estimated the following LS-regression:
logier_ln = c + a*logier_ln(-12) + b*index_ln
but then I have problems with autocorrelation and seasonality.
Then I built the growth rates as follows since I have monthly data > log(x)-log(x(-12)). When I now look at the Scatter Plot of logier_lnd12 and index_lnd12 I can see a linear dependence. So I estimated simply logier_lnd12= c + a*index_lnd12 but i think this is too easy.
Last I built a simple error correction model, would this be the right way?
Could someone please help me and show me a better way to estimate the elasticities
The Data set for germany you'll find as attachment
Thank you very much in advance!
i'm trying to estimate the long-run elasticities between over-night stays (logier) and the real exchange rate index (index). I have monthly data. Both series are non-stationary and the over-night stays show high seasonality.
However I'm not sure how to do this. I first built the log's and estimated the following LS-regression:
logier_ln = c + a*logier_ln(-12) + b*index_ln
but then I have problems with autocorrelation and seasonality.
Then I built the growth rates as follows since I have monthly data > log(x)-log(x(-12)). When I now look at the Scatter Plot of logier_lnd12 and index_lnd12 I can see a linear dependence. So I estimated simply logier_lnd12= c + a*index_lnd12 but i think this is too easy.
Last I built a simple error correction model, would this be the right way?
Could someone please help me and show me a better way to estimate the elasticities
The Data set for germany you'll find as attachment
Thank you very much in advance!