Thomas Obst

2 Questions 7 Answers 0 Followers

Questions related from Thomas Obst

Testing for lag length in STATA - which variables to take into account?

Hi there, I am interested in the optimal lag length for my model. I am taking macroeconomic variables such as GDP and unemployment rates. I know how to implement the test but are not sure what...

18 June 2019 1,294 6 View

If I have a cointegrated relationship between two variables, do these variables also need to be included in the short run part of the model?

I am running a time series specification with investment being determined by GDP and lagged value of investment. These variables are cointegrated in the long run. I wonder whether I also need...

23 January 2016 811 13 View