22 Questions 37 Answers 0 Followers
Questions related from Lars Ahnland
Hi! How do I fix both serial and cross-section auto correlation in panel date at the same time? I run a fixed effects model with PSCE errors (takes care of cross-sectional autocorrelation), and...
13 November 2022 3,147 1 View
I only have 28 observations for a regression, while the minimum is often said to be 30. Is that ok anyway, and are there any extra security measures I can take, such as more stern application of...
08 January 2022 4,334 5 View
Like the title says - where do I put exogenous variables in a panel ARDL model - in the long-run or short-run equation? I want to control for world war one, which means either impulse dummies for...
05 January 2022 298 1 View
Hi! I want to mix stationary and non stationary panel data in an error correction and for cointegration. In a non-panel data setting, this is done with ARDL ECM, where a significant EC and...
21 May 2021 1,466 3 View
Why is there no constant in the long-run in panel ARDL (MPG) regression? It is the same in Eviews and Stata.
21 May 2021 9,356 0 View
With ARDL cointegration (the bounds tests approach), why is the dependent variable stated in first differences in software such as Eviews? Please explain as simply as possible - my algebra is...
30 April 2021 1,305 7 View
Hi! I an estimating a relationship between two variables among 13 countries. In some countries, the variables are stationary, and in some, they are non-stationary and cointegrated. For...
26 September 2019 4,318 0 View
Hi! If an unstable cumulative sum of recursive residuals squared (CUSUMSQ) test indicate instability in the residuals of, say an ARDL model, can this be remedied by the use of heteroscedasticity...
20 September 2018 8,864 2 View
Hi! Is it valid to use the Bai-Perron test to detect a structural break in the constant in a regression with non-stationary variables, and then use the break dates as step dummies in an...
16 March 2017 9,837 5 View
How do I interpret the results from a redundant variable test (EViews)? The odd thing is that it cannot reject the null of a variable with a significant coeffecient (p-value 0.0277) to be...
19 January 2017 1,082 3 View
I have read that it's relatively unproblematic to include dummy variables (for structural breaks for instance) in ARDL cointegration. How is this done? I have included them simply as independent...
14 January 2017 1,672 41 View
Is it ok to use the Bai-Perron method for detection of structural breaks in a cointegrating relationship? If so, is it correct to include all the long-run independent variables and allow for...
10 January 2017 5,446 5 View
I'm testing out the Pesaran (2000) method for including exogenous variables in cointegration. It says it assumes weak exogeneity of the exogenous variable. Do I have to test for that - even if...
10 June 2016 6,650 4 View
Hi! Is it possible to include variables that might be cointegrated as exogenous variables in a VEC? For instance, I have cointegration between variable A and B, where A is my hypothesized...
30 May 2016 1,922 6 View
Well? Does all variables in a VAR/VEC need to be normally distributed, or only the target variable? It is very hard to get all of them to meet criteria of normality without deleting too many outliers.
30 May 2016 5,619 5 View
Hi! I'm not very good at algebra, wich caues problems for me when reading econometric articles. Now, I'm reading the Rahbek and Mosconi (1998) paper on how to introduce exogenous variables in VEC...
26 May 2016 9,749 3 View
Hi! Is it possible to determine Johansen test for co-integration with structural breaks from Bai-Perron method? Or is a Chow test with known break dates preferred? Both are built on the assumption...
07 April 2016 2,661 4 View
What tests do I need to perform for VECM and VAR to be considered robust? I know LM test for residual autocorrelation is mandatory, but what about Jarque-Bera test? Is that necessary?And what...
30 April 2015 8,925 4 View
Hi! How do I include exogenous variables in VECM in stata? They are stationary.
29 April 2015 4,050 5 View
Hi! I want to use logit regression whit lags of the independent variables. Now, I was told I need to use time fixed effects for this (even though I don´t get why). Is this true, and if so, how do...
09 March 2015 3,921 10 View
Hi! If I want to use control variables in VAR, should they be exogenous or endogenous? And how should I report the variables if they are endogenous (lags included)? Do I only report the wto...
20 February 2015 9,872 3 View
Hi! In Johansen cointegration, one has to ensure that residuals are normally distributed - at least for the ECM part. Is there a simialr requirement for ARDL cointegration? Is the Bounds test...
01 January 1970 3,494 2 View
