In future I have plan to make some videos with GMM.
@sayedhossain2312 жыл бұрын
VECM automatically transfer the data into first differenced. So you should put the level data in VECM environment so that it becomes stationary after estimating VECM model.
@sayedhossain2312 жыл бұрын
You can see one of my videos where I have shown how to check causality under VECM environment. Causality Analysis is there
@sayedhossain2312 жыл бұрын
Convert variables into log, arch affect may remove. Increase sample size, I guess you may achieve normality in the residual.
@sayedhossain2311 жыл бұрын
It means that suppose 3 variables are found non stationary at level but when I convert these 3 variables into first differenced, they become stationary. It means they are integrated of same order.
@tanu24feb12312 жыл бұрын
then should we calculate stationarity for log values or on original values as in your cointegration video you have mentioned that we should calculate co integration on original data
@SATYAecon8712 жыл бұрын
Thank you so much for all your videos! very helpful sir. would you happen to have a video with vecm of more than 3 or 4 endogenous variables? Thanks!
@TheGradStudyHub11 жыл бұрын
hello sayed... please if I may ask, what if the residual on the longrun causality c(1) is positive. Does this have anything to do with the causality result in the longrun. Thank you.
@SATYAecon8712 жыл бұрын
I have one doubt regarding the VECM modelling technique.Till now you have shown examples with two endogenous variables. In my model i have upto 4-5 endogeous variables which passes the cointegration tests and are suitable to be modeled via VECM.I get a significant negative estimate for C1(similar to your previous video: export n GDP). My doubt is how do i interpret this, can i say all my independent variables exhibit a long run relationship with my dependent variables?
@tanu24feb12312 жыл бұрын
and how to remove arch effect and it is showing residuals are not normal.
@Nagma290811 жыл бұрын
what does mean integrated in the sam order? and how i know it is integrated in the same oder?
@TheBajanerika12 жыл бұрын
Hi, when I try to run my VECM, I get the error message of near singular matrix except when i select no trend and no intercept. Should I proceed or do I need to adjust my model?Is there a way to investigate the best assumption about the trend and intercept?
@sayedhossain2312 жыл бұрын
Johansen test has two conditions: Variables must be non-stationary and also must be integrated of same order.
@tanu24feb12312 жыл бұрын
sir i have run VECM on future and spot prices of commodity. I have run stationary test after first diff data is stationary. When i run VECM for this model.it itself takes first diff.Should i convert data to first diff or second difference? It is not normal and has arch effect.How to remove this drawback ?
@pakouva932010 жыл бұрын
dear Sir, i tested and i got 3 lag order, in order to run for cointergrated, how many lag i should use? 2 or 3? because the instruction from eviews told like follwing "Lag Intervals You should specify the lags of the test VAR as pairs of intervals. Note that the lags are specified as lags of the first differenced terms used in the auxiliary regression, not in terms of the levels. For example, if you type “1 2” in the edit field, the test VAR regresses on , , and any other exogenous variables that you have specified. Note that in terms of the level series the largest lag is 3. To run a cointegration test with one lag in the level series, type “0 0” in the edit field."
@sayedhossain2310 жыл бұрын
I would use 3 but yes some say should be 2 in your case.
@sayedhossain2312 жыл бұрын
I never tried in that way the way you have done. So can not comment
@torreychen508410 жыл бұрын
Dear Sayed, Thank you very much for the video it is really helpful. Now I am working on a question on distinguish the drivers for post war UK recessions. In the model you have presented, I know how to identity whether export affects gdp in both long run and short run. But how to find whether such change has changed over time?
@sayedhossain2310 жыл бұрын
That part I am not sure.
@pakouva932010 жыл бұрын
how to write down the coefficient because we have many coefficient due to many lag?
@chantalakarabo50078 жыл бұрын
Hello I thank you so much this video is more helpful but its more better if you say what we can do when two test are not significant for instance my residuals showed me that are not normally distributed and i got serial correlation what next should i have to do and also using johansen i found no long run relationship but on that vector error correction model sign was negative and p
@sayedhossain238 жыл бұрын
Dear Chantal, I would like to invite you to join Hossain Academy Facebook at below link to discuss about economics, econometrics and statistical models using EVIEWS, STATA, R, SPSS, Minitab, Microfit, Lingo, and Excel. Thank you, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
@sayedhossain2312 жыл бұрын
I am not understanding your question actually what you are meaning
@elghark8 жыл бұрын
One question: in the very first desciptive statistics (VECM model) you ignored the Fstatistc; May do I understand why? In other words, there are two different value about the Fstatistics, and I was expecting to have one only. So, what does it mean? and how can I see the n° degree of freedom in order to check it on a f distribution table? Hope you can help me. Thanks
@sayedhossain238 жыл бұрын
Dear Elghark, I would like to invite you to join Hossain Academy Facebook at below link to discuss about economics, econometrics and statistical models using EVIEWS, STATA, R, SPSS, Minitab, Microfit, Lingo, and Excel. Thank you, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
@sayedhossain2311 жыл бұрын
Sign should be negative
@jinbo293910 жыл бұрын
Dear Sir Thank you so much for your videos. very helpful for me! But I'm so wondering how can I report coefficient, in this case, c(2)=c(3)=c(4)=0. Is it possible to report chi-square value?
@sayedhossain2310 жыл бұрын
It is joint significance test of Wald Statistics. I have number of videos on it under VECM and VAR model.
@sayedhossain2310 жыл бұрын
As I said, it is wald test result which is available in VAR and VECM videos of Hossain Academy. Yes ch-square statistics is also can be reported.
@RahimahRazali918 жыл бұрын
hi sir. regarding one of your video about VECM test, I have a question. What if my C(1)= -0.489743 and my p value= 0.1420, which is negative and not significant. Is it means it have long run relationship or otherwise? Tq
@sayedhossain238 жыл бұрын
+Rahimah Razali Thank you. I would like to invite you to join Hossain Academy Facebook for greater interaction about economics, finance and econometrics with me. Thank you Sayed Hossain from Hossain Academy. Please join below and post your question.facebook.com/groups/hossainacademy/