VAR Model. Model Three. Part 1 of 2. STATA

[@ibrahimahmad5161]

am now becoming more confident to go on with my research on stock market prices. thanks allot!!!

[@sayedhossain23]

Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there for feedback. Thank you, Sayed Hossain from Hossain Academy facebook.com/groups/hossainacademy/

[@pradeepdangi9614]

Dear sir, Thank you for this genuine task, it is really helpful to me.

[@TMayai]

Informative video. BTW, Null is never accepted. The commonly used jargon is 'fail to reject.'

[@diptarajkhowa]

Hi Sayed! This is really helpful. I waned to ask a question. I am working with three non-stationary series which are stationary at first difference. When I run the Johansen cointegration test on the non-stationary series, I find that there is no cointegration. Therefore, I have decided to use a VAR model. My question is do we use var on the first differenced (stationary variable) variable or can we use the non-stationary variable. I have tried both but when I use the non-stationary series by results are bogus but when I use the non-stationary series i get results as per intuition. I just wanted your help in figuring out which would be the right way to do it.

[@sayedhossain23]

+Pallavi Rajkhowa Thank you. I would like to invite you to join “Analysis” in Facebook below to discuss about econometrics, statistics and data analysis using EVIEWS, STATA, R, SPSS, Minitab, Microfit, Lingo, Excel etc. Thank you, Sayed from Analysis Group. facebook.com/groups/449520105253087/

[@dr.d.manohar2214]

Sir how to forecast By using FARIMA model...in STATA

[@pradeepdangi9614]

Dear sir, will you upload the GVAR MODELLING in your channel?

[@vincenzovastola5833]

Hi Sayed Hossain, first of all thank you for your videos that are helping me a lot! I would like to ask you a question. Why when i run the Johansen tests for cointegration i have no values for the trace statistics (only " - " appear)? And what should i do for understanding if i have to accept or reject the null hypothesis? Thank you very much!

[@sayedhossain23]

I can not explain here as you can not see your result in EVIEWS but in my video I have explained what is Null and Alternative hypothesis. Normally Null is: There is no cointegration

[@vincenzovastola5833]

Sayed Hossain Thank you for answering me back, u'r really kind. I'm using Stata not Eviews. You have been clear explaining how to understand if it is the case of null or alternative hypothesis, but since i cannot compare the trace statistic (for which i do not have values but only" - ") i cannot manage to do so.

[@ebrimaceesay8398]

Vincenzo Vastola I think you have to set the time setting time variables as either yearly monthly quaterly and so on then continue with running the cointegration of the model.I think.

[@sayedhossain23]

Thank you

[@salminungando214]

Hi, I need help of video(s) on how to entry and analyze multiple response variables by STATA.

[@gaeljimenez6278]

What does the star mean? Because in my cointegration test I got the star on the rank no. 1 (not zero)

[@sayedhossain23]

Thank you. I would like to invite you to join Hossain Academy Facebook Group at below link and join our group discussion. Thank you. Sayed Hossain from Hossain Academy.

[@a018009000]

What if I get different results in trace statistics and max statistics? I mean in trace stats I get there is cointegration and in max stats I get no cointegration. What does this means?. By the way, the difference between trace statistics to critical value is Minimum.

[@sayedhossain23]

Dear sir, I would like to invite you to join Hossain Academy Facebook at below link and post this question there, I shall respond. Thank you once again, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/

[@ebrimaceesay8398]

hello my variable observation is from 1980 to 2010 but actually the cointegration test brought down from 1983 - 2010.Is it because of the lag of VAR 3 years. Thank you

[@sayedhossain23]

IT MAY GO DOWN DUE TO NUMBER OF LAGS BEING USED.

[@obasuyifolorunsoobayemi8711]

Thank you for step by step analysis of VAR provided in this video.It is very helpful. Sir, I wish to ask where I got confused. "If the data is stationary at level, which method shall I apply for the estimation, either in case of Time series and or Panel data time series? Thanks

[@serkandurmaz6392]

Hi Sayed! Firstly, thanks a lot for your all amazing videos that explain all econometric steps. I'd like to ask you a question about my VAR model. I got 2 problems in after VAR diagnostic checking. first one is my residuals are not normally distributed and second one is they are heteroscedastic. I looked at all solutions, however, I could not find any proper one for my data set because I am working GDP growth rates which have some negative values as well so that taking log or first difference does not help to detect my problems due to missing values of negative variables. in that case, What should I do? which test or step Should I follow? Thanks a lot for your reply from now.

[@sayedhossain23]

Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there for feedback. Thank you, Sayed Hossain from Hossain Academy facebook.com/groups/hossainacademy/

[@uzairbaig8372]

Kindly show me the video of panel ardl model in eviews. Also please guide me that in some articles at different integrated orders they have applied panel cointegration and panel ardl both. However integrated order should be the same Please explain or tell me any site in this respect

[@sayedhossain23]

Dear Baig, Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there for feedback. Thank you, Sayed Hossain from Hossain Academyfacebook.com/groups/hossainacademy/

[@anwarmohd184]

Aslamo Alekum Sir. I enjoyed a lot your video lectures. Of course, these lectures are imperative for the explorers. Allha bless you with more potential for attempting such researchers/learners prospered activities. Sir, you may kindly load some lectures on the estimation of linear dynamic panel model. It would be helpful for me. regards Sadiq

[@sayedhossain23]

I have not done that part yet, may be later. thank you

[@lukkassyahputra3095]

in previous video l, u made null hypothesis in maximum rank of 1 and 2, 3 and 4 in order get VECM, but here u only care about zero maximum rank... i mean to get conclusion whether there is cointegration or not..but in here u only explain in zero maximum rank, what about the 2 and 3 maximum rank? what is the interpretaion? the max statistic value is smaller then alpa 5%, so i think u should run VECM

[@sayedhossain23]

If I fail to reject zero null hypothesis, I can not proceed further. I can not check 1 or 2 null hypothesis further.