10 Questions 21 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 3,132 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 4,317 5 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 1,455 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 9,346 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 8,855 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 9,829 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 1,072 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 1,661 41 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 9,674 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 3,483 2 View
