Philipp Mackert

7 Questions 12 Answers 0 Followers

Questions related from Philipp Mackert

Building a VECM model with all I(1) variables but the information criteria (AIC and SC) show weird results for lag selection?

Hello, I am building a VAR modell in order to discover how (WTI) oil price shocks (changes in the WTI price) and 3 macroeconomic control variables (gdp_growth, Log-Interest rate, Log-exchange...

22 November 2022 1,158 19 View

Interpreting ECTs in multivariate model VECM

Hello, I want to estimate the effect of some macroeconomic variables: CPI, exchange Rate, 10yrs Bond yield, M3 supply, Industrial Production Index on the Stock Market in the USA. I transformed the...

01 January 1970 4,079 3 View

Proceeding in case the data are all non-stationary and not cointegrated

Hello, I want to examine the following topic: The Causality between Macroeconomic variables and U.S. Stock Market (Returns) – A Vector Autoregressive model approach First I do not know whether...

01 January 1970 8,247 4 View

Logit approach with imbalanced data - Precision, Recall, Threshold tuning, SMOTE

Hello, I am applying a Logit Model on heart disease data (400k instances) which are imbalanced (90% negative and 10% positive classifier). Does anyone know how one has to proceed in this context?...

01 January 1970 5,541 1 View

Interpretation of/too high ARDL long- and short term estimates (larger than 0)

Hello, I estimated the effect of some macroeconomic variables: CPI, exchange Rate, growth of M3 supply, WTI oil price, Michigan Consumer confidence index on the Stock Market in the USA. I...

01 January 1970 8,970 0 View

[SVAR] How modelling SVAR with almost only unrestricted elements in R or other programming languages?

Hello, I want to construct an SVAR model including Gasoline shock --> Headline Inflation --> Core Inflation --> Inflation Expectations --> Interest Rate (Matrix 5x5). I have a problem...

01 January 1970 8,639 0 View

Creating a Cholesky decomposition on oil price shocks (in R)

Hello, I want to decompose oil price shocks into three elements (oil supply shocks, aggregate demand shock and oil-specific demand shock) according to Kilian (see attachment). In order to execute...

01 January 1970 5,752 5 View