Johansen Cointegration Procedure using STATA (English)

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  • Опубликовано: 21 авг 2024
  • data : webuse lutkepohl

Комментарии • 15

  • @forughghadamyari8281
    @forughghadamyari8281 Месяц назад

    Hiii...What if some variable wound be I(0) and some (1)?
    How can we test cointegration?
    Thanks

  • @nikobusch5974
    @nikobusch5974 Год назад +1

    What if one of my variables is stationary at level? Thanks in advance!

    • @ZahidAsghar
      @ZahidAsghar  Год назад +1

      Use ARDL, not JOhansen cointegration

  • @quynhpham8728
    @quynhpham8728 5 месяцев назад

    amazing

  • @kevinwilliamtimothy3545
    @kevinwilliamtimothy3545 11 месяцев назад

    Hi, I encounter this message while doing cross sectional analysis.
    . dfuller FDI___, noconstant regress lags(2)
    sample may not include multiple panels
    r(459);
    what should i do, Sir?

    • @ZahidAsghar
      @ZahidAsghar  11 месяцев назад

      Can you please elaborate little more

  • @catsworld2828
    @catsworld2828 2 года назад

    Should the Johansen Cointegration test by conducted on variables at levels or in their transformed state?

    • @ZahidAsghar
      @ZahidAsghar  2 года назад +2

      Level but log transformation can be applied

    • @ZahidAsghar
      @ZahidAsghar  2 года назад +2

      I mean log transformation before applying for test is ok

  • @divineasare2853
    @divineasare2853 Год назад

    The zooming is not clear

  • @akumboemmanuel1160
    @akumboemmanuel1160 Год назад

    Why have you used 10 lags in the command varbasic

    • @ZahidAsghar
      @ZahidAsghar  Год назад

      Well I think 8 lags will serve the purpose in general to specific modeling approach. It was just a demonstration. Better use 12/8/4 lags for quarterly data depending on size of data

  • @RajeshwariGhosh
    @RajeshwariGhosh Год назад

    Please share the dataset link

    • @ZahidAsghar
      @ZahidAsghar  Год назад

      The very first command is data link
      webuse lutkepohl (A built in STATA data)
      webuse lutkepohl
      Type this in command window