Davron Ishnazarov

5 Questions 19 Answers 0 Followers

Questions related from Davron Ishnazarov

How to select lag length, test for co-integration and do VAR/VECM with non-stationary I(1) data ?

1. For lag length selection:Should I test lag length with differenced values or at level? I run VAR model and then do lag length selection criteria. 2. Cointegration rank: Should I test Johansen...

03 May 2016 596 4 View

How do you interpret VEC and VAR models coefficients?

For example, if the results of the ECM model revealed causality running from the independent to the dependent variable. Coefficients of the error correction model do not represent similar...

23 April 2014 1,457 14 View

Lag selection with error correction model (ECM)?

I have 20 observations, time series data, lag order selection criteria (FPE AIC HQIC SBIC statistics). These show that I can choose 4 lags, co-integrated equations based on max trace...

13 March 2014 9,688 24 View

What is the minimum sample size (number of obs) to check for the Granger causality?

Will the results be robust if we take only 20 obs due to the data availability problem?

05 March 2014 4,355 8 View

Is it possible to run an error correction model for panel data in STATA?

I want do determine a long-short run relationship, direction of causality between trade openness and economic growth. I use stata but ECM model works for time series data while for panel data it...

04 March 2014 3,416 5 View