Unit Root Tests, Cointegration and ECM/VECM in Eviews
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- Опубліковано 5 сер 2024
- This video provides some useful steps on how to perform the tests of unit root, cointegration and error correction modelling.
#regression #cointegration #unitroot #stationarity #nonstationarity #errorcorrectionmodel #vectorerrorcorrectionmodel #longrun #shortrun
This awesome 👍
ViData Solutions *I score you 98%*. Welldone!
Thanks
Salut
J'ai une question sur le modèle vecm au niveau de l'interprétation CointeQ1 si on a négatives et positif.
THANK YOU
Welcome sir
What test i need to perform after VECM?
Thank you so much for this nice and professional tutorial. If i am to ask; is it possible to use the generated residual to interpret the convergence of series ?
Yes, the one-period lag of the residual appearing in the ECM model is expected to be negative and significant for convergence to be assured.
thanks for the video! what do I do if my Durbin Watson from the regression is very close to 0?
When your DW is very close to 0, it shows that there exists first-order autocorrelation. The remedy is either to add a period lag of the dependent variable or impose the ar(1) in your model and re-estimate it.
If the order of integration of variables where X is I(o), Y is I(1) & Z is I(2), what is the Appropriate Model for estimating the relationship among the variables.
Use the TY model like I have explained over the phone call.
If all your variables are i1 variables shouldn’t you use the differences when making your equation ?? When finding the et?
If all your variables are I(1), and they are cointegrated, then you can estimate your model in their level (to serve as long-run) and apply ECM. If they are not cointegrated, then you can use the differences but can only refer to the shortrun.
Please can you answer... My all result signifigant but ecm(-1) is not negative.. In these case there is long term or not?
Dear Athraa, kindly note that a positive ECM(-1) doesn't speak well of your model. It shows evidence of divergence from the longrun equilibrium. This may be as a result of specification problems or data issues or error during estimation. Kindly ensure that there is no variable that is originally I(2).
What if the residuals of the OLS only becomes stationary after first difference?
If the residuals turns out to be stationary at first difference, that is I(1), then there is no cointegration. According to the EG residual-based cointegration approach, cointegration exists if the linear combination of I(1) variables is stationary or I(0). In other words, if variables X and Y are both I(1), then they are cointegrated if their residuals (i.e their linear combination) is I(0).
hello i just read somewhere that the ect should be significant and negative. why does the ect is not significant in your example? and what are the solutions i need to do to make it significant?
you can take lags of different variables in the estimation window, it may solve the problem.
I should use FMOLS methode but unit root test show that my variables are not all in same order what can i doo please !!
You should consider using the ARDL model if your variables are a combination of I(0) and I(1) with an I(1) dependent variable. But if the dependent variable is I(0), you may have to use the Bootstrap ARDL model.
What is the software you are using?
Eviews 10
Hello, may I ask if I have four variables, and my result shows that there are two asterisk sign at "none" and "at most 3", how can I explain it and can I still use VECM model. Thank you :)
In your own case, there is only one cointegrating equation. Yeah you can run the VECM if your main dependent variable is the one in the identified cointegrating equation.
@@ChekwubeMadichie Thank you so much! Could I ask where can I check my dependent variable is the one in the identified cointegrating equation?
If you have four variables, that means four equations in the Johansen system specifications. Thus, the dependent variable in the first equation is obviously the main dependent variable and if there's only one cointegrating equation, then the main dependent variable is cointegrated with other variables.
@@ChekwubeMadichie Thank you so much for your reply:) I'm wondering why my model just has one cointegrating equation instead of two. As I cannot reject the "at most 1" and "at most 2"
What's exactly your interest in having two cointegrating equations?
ECM(-1) is not significant so we cant trust this test? I mean we cant be interpreted this results?
The ecm(-1) should be significant to ensure there is a strong feedback effect of short run deviation in the longrun. No meaningful interpretation can be generated about the convergence process and the speed of adjustment, when the ecm(-1) is not significant. However, the video is meant to provide the useful steps on how to perform the test in Eviews.
Sir please make clear what r conditions to estimate Vecm
And when we estimate Ecm
I feel for Johnson's we estimate Vecm not Ecm
And in ARDL we estimate Ecm
Please clear? Am I right
Johansen cointegration is for system of equations and it goes with VECM, while Engle-Granger residual-based cointegration is for a single equation and it goes with ECM.
Can panel data do the ECM?
Yes of course. Search for my video on panel unit root test and cointegration. That would give you an insight. I will post a video on panel ARDL and ECM.
increase the volume and graphics of your videos
His sound and audio is quite good
Hi, is it possible to analyse non performing loan (dependent) GDP and inflation rate (independent) by unit root test, panel cointegration model, VECM test using 9yrs data?
No
What can be done to troubleshoot the problem? What do you recommend?
If i increase years of data, would that help?
@@aniksaha9925 9 yrs data coverage is too small for such analysis. You should have at least 30 yrs.
That's why Johansen panel cointegration didn't work. When i stretched to 13 years, it produced some result though
@@aniksaha9925 That result is questionable
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