VECM. Part 2 of 2. Model Three. STATA

[@shatabdopaul833]

I think you do a brilliant job in teaching these difficult concepts with such patience. keep up the good work. your videos have been of great use for my dissertation.

[@sayedhossain23]

Hi Rashed, Happy to know that you are gregorian too. Yes we can plan to meet. Thank you for your appreciation.

[@andoorai4984]

@sayed Hossain sir i really didnt understand the last part of the video where you explain the Jarque- Bera test what do i compare my Prob>chi with so that i can say is normally distributed as per my result Prob>chip is all 0.0000

[@minyahilalemu4302]

hello dear, nice video! can you say some thing on VEC model stability???

[@videosdetesiseconomia6402]

Dear Sayed all your videos are great. I wonder if you know something about regression discontinuity? If yes, can you make a video about it. thanks

[@sayedhossain23]

Videos de tesis economía I do not know about regression discontinuity....what is it..

[@theodorepang9804]

Hi Sayed, Hope you are well. I have a question on cointegration and am wondering if you would be happy to advice? I have two cointegrated equations (each uses a different, but plausible, combination of explanatory variables) and have verified cointegration using the standard tests. Both equations are of the form below, though the vector X has different elements across each equation: ΔYt = a + b0*ΔYt-1 + b1*ΔXt-1 + b2*(Yt-1 - b3Xt-1) + et For the first equation, the b2 is positive (and significant). I understand that we need b2 to be less than or equal to zero for the equation to make sense in the long run since it does not adjust back. For the second equation, b2 is negative (and significant) but every coefficient in b3 is not significant. Hence, does this mean that a cointegrating relationship with Y and both combinations of X is really not supported by the data? Thank you.

[@ariaardalan4088]

Dear Sayed one question. What would be the interpretation regarding _ce1 (Error Correction Term) if the estimated value is negative BUT its p-value is 0.08 (not statistically significant). Is there Long-Run causality for this presumed model?

[@sayedhossain23]

Sorry for being late...It should be negative and p should be less than 0.05, then we can say there is a long run causality running from independent to dependent variable...

[@elisanebres9142]

I'm in the process of doing VECM. If say for example, the target model is EX then I found the GDP L2D the only significant, not the LD or the L3D, do I need to run test ((D_EX): L3D.GDP L2D.GDP LD.GDP)? O just test ((D_EX): L3D.GDP) since it is the ony significant lag? Thank you.

[@sayedhossain23]

+Elisa Nebres Are u talking about the video above or other video?

[@elisanebres9142]

I'm talking about in general. I am running the commands using my own data.

[@sayedhossain23]

+Elisa Nebres Ok. Then join Hossain Academy Facebook and post your result as picture. if I know answer I shall provide

[@fadifarwaji6392]

Dear Sayed, can you explain the stability of the VECM ? When I run the 'vecstable' command in STATA, I get the "Eigenvalue stability condition" with "The VECM specification imposes 2 unit moduli." what does it mean 2 unit moduli ? is my model stable ?

[@sayedhossain23]

Fadi Farwaji I think that part I have a video already..

[@jingyigao5570]

Dear Sayed, Could I apply impulse response analysis and forecast error variance decomposition test after VECM test?

[@sayedhossain23]

Jingyi Gao Yes you can but I never tried

[@jingyigao5570]

Thank you!!!

[@marmour26]

Thank you! Very Useful!

[@sayedhossain23]

Dear Yasmineswilam, Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there. Actually I am in that group and may help you. Thank you once again, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/

[@rehamrizk6043]

regarding ECM , what if you have more than 1 cointegrating equations?? In my case , I have TWO

[@sayedhossain23]

+Reham rizk Indeed if you have 2 ECM hard to explain result. I would suggest when you run VECM model put 1CE so that you will get 1 ECM.

[@rehamrizk6043]

Thanks dear

[@sayedhossain23]

+Reham rizk Dear Reham, I would like to invite you to join Hossain Academy Facebook at below link to discuss about 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/

[@lngocngo]

could you please explain more about indicators parms, R-sq, RMSE and Chi? One more question: why do we need CE is negative? May you share me some reference... Many thanks!

[@sayedhossain23]

Why CE is negative? There are few article on line such as trade liberalisation by nasiruddin ahmed.

[@talhamember]

Why have you not put 2 ranks the trace statistic is less than critical

[@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. facebook.com/groups/hossainacademy/