Estimated the Exchange Rate's effect on economic indicators
Posted: Tue Dec 03, 2013 2:34 pm
Hi,
not sure if this is the right place to question this, as I don't have a specific model/procedure related question yet, but I hope you can help me come up with one:)
My goal is to evaluate the effect of currency's exchange rate on country's economics (perhaps some indicators such as GPD, trade balance, unemployment (?), inflation (?)). I have quarterly data for 17 years period. While it may seem easy for many of you, I find it difficult to understand which is the right way to proceed.
From what I understand, the simple characteristic regression would not be correct in this case, would it? What tests should I run to try and find out, if that is necessary before I can draw conclusions on that? I have done some characteristic regressions before but that was based on pure characteristical data, so if characteristic regression is correct in this case, I would have no further questions for now ;)
I have, however, studied some researches with similar questions to mine, and from what I've seen, it seems to me that the ARDL approach to cointegration or VAR models should be the right ones in this case? However, being self taught in econometric area, I lack a lot of knowledge on time series, so I would kindly ask you to talk me through the procedure I should follow. (perhaps with some reasoning of why do/test that, if possible). I think I would be able to find most of the things with the User's guide for Eviews for further steps (like how to perform ADF, etc), it's just the procedure itself that I am concerned.
Now I know that all this that I've written above might be a little to much for one's taste, so if you don't feel like helping me with everything I asked, at least some or very little hints/tips/advice is very welcome and would help me a lot.
Thank you in advance!
not sure if this is the right place to question this, as I don't have a specific model/procedure related question yet, but I hope you can help me come up with one:)
My goal is to evaluate the effect of currency's exchange rate on country's economics (perhaps some indicators such as GPD, trade balance, unemployment (?), inflation (?)). I have quarterly data for 17 years period. While it may seem easy for many of you, I find it difficult to understand which is the right way to proceed.
From what I understand, the simple characteristic regression would not be correct in this case, would it? What tests should I run to try and find out, if that is necessary before I can draw conclusions on that? I have done some characteristic regressions before but that was based on pure characteristical data, so if characteristic regression is correct in this case, I would have no further questions for now ;)
I have, however, studied some researches with similar questions to mine, and from what I've seen, it seems to me that the ARDL approach to cointegration or VAR models should be the right ones in this case? However, being self taught in econometric area, I lack a lot of knowledge on time series, so I would kindly ask you to talk me through the procedure I should follow. (perhaps with some reasoning of why do/test that, if possible). I think I would be able to find most of the things with the User's guide for Eviews for further steps (like how to perform ADF, etc), it's just the procedure itself that I am concerned.
Now I know that all this that I've written above might be a little to much for one's taste, so if you don't feel like helping me with everything I asked, at least some or very little hints/tips/advice is very welcome and would help me a lot.
Thank you in advance!