14 Questions 21 Answers 0 Followers
Questions related from Lars Ahnland
Are the long run coefficients (or rather t-values) in the cointegrating equations of the Johansen cointegration test sensitive to non-normality? I know the short run equations in the VEC...
04 April 2018 5,273 3 View
Hi! I have a question regarding VECM and IRF interpretation in Gretl. According to the speed of adjustment coefficient (error correction term) in the VEC, the target variable adjusts at a speed of...
04 April 2018 7,481 1 View
Hi! I have used Johansen normalization in VEC models, but never really understood the concept of overidentification. Can someone plz explain this to me in a simple way? A reason I could never wrap...
12 December 2017 5,815 0 View
Hi! In a VEC system with four equations (and two lags) and rank three, I get three variables that are significant (according to a Chi2-test of the parameters), and one that isn't. How do I...
08 August 2016 7,908 5 View
I'm running a VEC model and get Durbin-Watson statitics where d < dL,α, wich means there is statistical evidence that the error terms are positively autocorrelated. However, a Ljung-Box Q test...
08 August 2016 2,306 2 View
I have four variables in a VEC model. I have allready established the presence of three vectors. My hypothesis is that variable 3->variable 1, variable 3-> variable 2, and that variable...
08 August 2016 7,157 6 View
What do I do if I want to use Johansen test for cointegration, but the time series I use are not non-stationary? Can I search for a time-span that is? For instance, when I examine the 1900-2012...
06 June 2016 2,849 19 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...
05 May 2016 3,367 4 View
Hi! How do I calculate Degrees of Freedom in a VECM? I use Eviews, where only the F-stat is displayed, and no p-value.
03 March 2016 2,399 0 View
Hi! I have trouble interpreting confidence intervals in Impulse response functions. I am correct if I understand it that both the upper and the lower CI-bands have to be on the same side of zero?
02 February 2016 3,878 0 View
Hi! This might seem like a dumb question, and it probably is. I´ve read a little time series econometrics and have come to learn that you can´t compare non-stationary series (unless there is...
02 February 2016 8,958 12 View
Hi! This might seem as a silly question, but I'll ask it anyway. If a time series is increasing over time, aka non-stationary, but this increase is bound to eventually return downwards and...
09 September 2015 6,758 15 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 8,732 2 View
Hi! In a VAR/VEC framework, there are several methods to get normally-distributed residuals. Is there a way to get realiable t-values also with non-normal residuals? I know there is an algorithm...
01 January 1970 7,192 4 View