Owen de Boer

3 Questions 3 Answers 0 Followers

Questions related from Owen de Boer

How to conduct CUSUM and CUSUMsq test after the inclusion of an exogenous dummy variable in my ARDL model?

Hi all, I have been struggling a great deal with this matter and as such I hope you could provide me with answer. I have added a dummy variable to my ARDL model to improve its stability (Eviews)....

02 December 2020 1,211 5 View

Does it make sense to take the log of an index in the instance where the index is there to allow for the comparison of different price units?

Hi all, I am currently attempting to do a cointegration analysis between the price of oil and several agricultural commodities. Initially, I indexed these prices for the sake of comparison as the...

31 October 2020 3,190 0 View

What is more important for a proper cointegration analysis: taking into account structural breaks or having sufficient observations?

To clarify, I have several time series of roughly 30 years with monthly datapoints. Given the fact that the time series are quite volatile, I expected more than 2 structural breaks and conducted...

06 October 2020 3,291 3 View