ESTR model
Posted: Tue Feb 14, 2012 10:34 am
I am currently using ESTR model to estimiate a bubble in the housing market in the UK.
The model is DPG=C(1)*PG_1-C(1)*PG_1*EXP(-C(2)*PG_1^2)+e
where PG = price-income ratio,
DPG = change in price-income ratio,
PG_1 = lag one of price-income ratio,
PG_1^2 = square of lag one of price-income ratio.
This ESTR model is improved from standard ADF test, dx=C(1)x_1 + e, and try to test the value of C(1) whether it is lying in the region of -2<C(1)<0.
So, within creating new unit-root tetst, how do I set the model? I have been trying to run this regression by 'equation estimation' put above equation into least square, but I could not achieve the right result.
Any help please?
Jake
The model is DPG=C(1)*PG_1-C(1)*PG_1*EXP(-C(2)*PG_1^2)+e
where PG = price-income ratio,
DPG = change in price-income ratio,
PG_1 = lag one of price-income ratio,
PG_1^2 = square of lag one of price-income ratio.
This ESTR model is improved from standard ADF test, dx=C(1)x_1 + e, and try to test the value of C(1) whether it is lying in the region of -2<C(1)<0.
So, within creating new unit-root tetst, how do I set the model? I have been trying to run this regression by 'equation estimation' put above equation into least square, but I could not achieve the right result.
Any help please?
Jake