How did you determine the t-distribution (critical value) for the long run coefficients? Is there any references? My model is good, also get conintegrating relationship among variable. But I am confused regarding the statistical significance of the long-run coefficients. Please explain or refer any literature. Thanks.
@rojadhungana8843Ай бұрын
Sir, i selected lag 1 based on SC criteria. When calculating vecm, what lag should I put? As it is said you should loose one lag while doing VECM. Should i use lag 0(1-1) or lag 1 itself?
@mukaramazhar38476 ай бұрын
Which cointegreation should be used in paper to vonclude the results. Suppose I am checking long-run relationship among GDP PG and FDI.gdp as DV population growth and fdi are InDV. I have run unit root lag lengh VECM but confuse for results conclusion
@aminaahmedalibelal567610 ай бұрын
Is it advisable to include the optimal lag we obtain when testing for cointegration?
@DhavalSaifaleeAaryash10 ай бұрын
depends on case to case basis
@АлексейБольдясов Жыл бұрын
Hello! Your videos are very usefull. And it open me a lot of opportunities for my economics researches. But I have a question with VECM. Is it necessary to perform seasonal adjustment before cointegration checking and estimation? I analize domestic and world wheat prices. And I think that price pairs for some countries are not cointegrated because it needs to first, exclude seasonality. Thank you in advance
@DhavalSaifaleeAaryash Жыл бұрын
I agree
@vishwajeetpundkar7841 Жыл бұрын
Do we check the stationarity of logged variables or their original forms?
@DhavalSaifaleeAaryash Жыл бұрын
We check of both
@AnamAkram-bn5ez6 ай бұрын
sir, i have 8 explanatory variables and johansen cointegration showing 7 cointegrating relationships. VECM will be very complicated in this way. Whats the solution.
@DhavalSaifaleeAaryash6 ай бұрын
Make subset and then run analysis
@SiwarFerchichi-h9q Жыл бұрын
it it necessary to reverse the signs of the coefficients while interpreting the impact of each variable on an other one ?
@thulabakada5 ай бұрын
I know it is only necessary when interpreting the long-run impact, and when looking at the speed of adjustment, you want to see negative signs as that indicates that the variable is adjusting back to equilibrium.
@tumeloarthurmohale8739 Жыл бұрын
Good evening Dr, How can i find ECT+ and ECT- in eViews. Am stuck. Kindly assist. Thanks in advance. Kind regards, Tumelo Arthur Mohale
@DhavalSaifaleeAaryash Жыл бұрын
R u talking about NARDL
@tumeloarthurmohale8739 Жыл бұрын
@DhavalSaifaleeAaryash Am using Vector Error Correction model. The error term is split into two, the negative and the positive (ect- and ect+)
@asrawani7190 Жыл бұрын
in my VECM independent variables, coefficients are negative but statistically significant, e.g in short-run estimates: D_NL New Real GDP _ce1 L1. = -.1084373; z value = -2.45; p value=0.014 NL New Real GDP LD.=.4752317 ; z value = 1.84 ; p value=0.066 NL Tour Forex LD. = -.0560698; z value = -2.64 p value= 0.008 How to interpret
@aminaahmedalibelal567611 ай бұрын
what about stability diagnostics?
@aminaahmedalibelal5676 Жыл бұрын
my variables are daily for the whole year, to estimate the optimal lag, LR FPE AIC and HQ showed the optimal lag is 8. should i have to choose 8? can i test the optimal lags with original data?
@DhavalSaifaleeAaryash Жыл бұрын
No u hv to run VAR to check lags
@bellisma77 Жыл бұрын
@@DhavalSaifaleeAaryash yes dr. I did which showed me the choosing by LR FPE AIC and HQ showed the optimal is 8.
@Pooja-cu9ek2 жыл бұрын
Sir you tested that model is not homoscedastic is it right in VECM?
@DhavalSaifaleeAaryash2 жыл бұрын
For garch we require heteroskedasticity
@jenemilton47912 жыл бұрын
good day sir.. what if my time series are cointegrating but the coefficient of the error correction is positive