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Questions related from Monir Ahmed
H-P filter is widely used in macroeconomics to derive the deviation from the trend line. But, Hamilton, a famous econometrician on time series criticizes the H-P filter. Now, the applied...
24 July 2020 7,650 0 View
Suppose the Johansen Cointegration test suggests (and supports) one cointegrating vector among the variables while the lag length is 2 but no cointegrating vector at lag length 4. But the...
27 April 2019 4,588 12 View
Suppose, one of the regressors is an index number and the index ranges from 1-15, where the higher value indicates greater flexibility and the lower value indicates greater rigidity. If the...
29 May 2016 7,010 11 View
How can I measure the asymmetric behavior of volatility of a macroeconomic indicator? Should I proceed with Markov Switching model after estimating GARCH/EGARCH model?
22 May 2016 1,974 2 View
As System GMM two step estimator is a small sample estimator, what is the minimum observation to perform this estimation? Again, STATA can make the sample as strongly balanced although there are...
21 February 2016 1,898 2 View
How can I get capital-labor ratio for each country? Does the PWT table calculate this ratio?
19 January 2016 963 2 View
If I get two break-dates from Bai-Perron structural break test but the history supports only one, then should I follow the test? Or, check for another test?
04 December 2015 2,052 5 View
Suppose, one of my independent variables is index number such as d= 1, 2, 3,......15, where higher value shows higher corruption(say) and lower value shows lower corruption. If the sign of...
02 October 2015 4,759 6 View
Suppose, we assume that the cointegral relationship may be affected by regime( political or any change). Is there any test or methodology that we can handle this change?
22 September 2015 1,190 5 View
What is the best proxy for energy price in a country if country's energy price is subsidized? Can Subsidized price be used in estimating energy demand function?
19 September 2015 9,020 10 View
Suppose, the semiparametric regression ( Robinson's estimator) say that the function is quadratic. How can I estimate the derivative function of that quadratic function? Is there any STATA code or...
01 September 2015 1,332 1 View
If one of my variables is an index variable, then can I perform granger causality test ( time series or panel )? If the index variable is the main independent variable, can I perform the...
03 July 2015 6,033 5 View
How many observation will suffice to conduct panel co-integration test? I mean, how many groups and time spans are needed for this test?
30 June 2015 3,385 4 View
Suppose U = f( K, L, RER) where K= capital, L= labor, RER = real exchange rate.Then can I add oil price in this function? My question was, there is a relationship between RER and oil price if the...
21 May 2015 6,036 7 View
HP filter is widely used to decompose the trend and cyclical component but Hamilton (2017). " Why You Should Never Use the Hodrick-Prescott Filter " criticized this method. What other possible...
01 January 1970 9,873 1 View
