Monir Ahmed

10 Questions 7 Answers 0 Followers

Questions related from Monir Ahmed

Hamilton(2017) criticizes the H-P filter, which is widely used in macroeconomic research. Should we rely heavily on H-P filter?

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 7,605 0 View

What is the interpretation of the coefficient of an index number?

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 6,937 11 View

How can I measure the asymmetric behavior of volatility of a macroeconomic indicator?

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 1,923 2 View

For System GMM two step estimator ( with Windmeijer correction), how much observations are suffice to that?

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 1,831 2 View

How can I get capital-labor ratio for each country?

How can I get capital-labor ratio for each country? Does the PWT table calculate this ratio?

19 January 2016 897 2 View

If we assume that the cointegral relationship will be unstable over time, then what type of test is appropriate?

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 1,134 5 View

In semiparametric regression, how can I estimate the derivative function?

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 1,278 1 View

Any advice about the Granger causality test?

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 5,956 5 View

What is the minimum observation for conducting panel co-integration test?

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 3,318 4 View

About the criticism of Hodrick-Prescott Filter

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 9,828 1 View