13. Vector Error Correction Model (VECM) using EViews || Dr. Dhaval Maheta

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  • Опубликовано: 7 сен 2024

Комментарии • 27

  • @AshrafulIslam-bp1iv
    @AshrafulIslam-bp1iv 12 дней назад

    How did you determine the t-distribution (critical value) for the long run coefficients? Is there any references? My model is good, also get conintegrating relationship among variable. But I am confused regarding the statistical significance of the long-run coefficients. Please explain or refer any literature. Thanks.

  • @mukaramazhar3847
    @mukaramazhar3847 5 месяцев назад

    Which cointegreation should be used in paper to vonclude the results. Suppose I am checking long-run relationship among GDP PG and FDI.gdp as DV population growth and fdi are InDV. I have run unit root lag lengh VECM but confuse for results conclusion

  • @asrawani7190
    @asrawani7190 Год назад

    in my VECM independent variables, coefficients are negative but statistically significant, e.g in short-run estimates:
    D_NL New Real GDP
    _ce1
    L1. = -.1084373; z value = -2.45; p value=0.014
    NL New Real GDP
    LD.=.4752317 ; z value = 1.84 ; p value=0.066
    NL Tour Forex
    LD. = -.0560698; z value = -2.64 p value= 0.008
    How to interpret

  • @user-rg9ht9un5f
    @user-rg9ht9un5f Год назад

    Hello! Your videos are very usefull. And it open me a lot of opportunities for my economics researches. But I have a question with VECM. Is it necessary to perform seasonal adjustment before cointegration checking and estimation? I analize domestic and world wheat prices. And I think that price pairs for some countries are not cointegrated because it needs to first, exclude seasonality.
    Thank you in advance

  • @vishwajeetpundkar7841
    @vishwajeetpundkar7841 Год назад

    Do we check the stationarity of logged variables or their original forms?

  • @aminaahmedalibelal5676
    @aminaahmedalibelal5676 9 месяцев назад

    Is it advisable to include the optimal lag we obtain when testing for cointegration?

  • @user-bg5wb8jz3b
    @user-bg5wb8jz3b Год назад

    it it necessary to reverse the signs of the coefficients while interpreting the impact of each variable on an other one ?

    • @thulabakada
      @thulabakada 4 месяца назад

      I know it is only necessary when interpreting the long-run impact, and when looking at the speed of adjustment, you want to see negative signs as that indicates that the variable is adjusting back to equilibrium.

  • @AnamAkram-bn5ez
    @AnamAkram-bn5ez 5 месяцев назад

    sir, i have 8 explanatory variables and johansen cointegration showing 7 cointegrating relationships. VECM will be very complicated in this way. Whats the solution.

  • @aminaahmedalibelal5676
    @aminaahmedalibelal5676 10 месяцев назад

    what about stability diagnostics?

  • @tumeloarthurmohale8739
    @tumeloarthurmohale8739 10 месяцев назад

    Good evening Dr,
    How can i find ECT+ and ECT- in eViews. Am stuck. Kindly assist. Thanks in advance.
    Kind regards,
    Tumelo Arthur Mohale

    • @DhavalSaifaleeAaryash
      @DhavalSaifaleeAaryash  10 месяцев назад

      R u talking about NARDL

    • @tumeloarthurmohale8739
      @tumeloarthurmohale8739 10 месяцев назад

      @DhavalSaifaleeAaryash Am using Vector Error Correction model. The error term is split into two, the negative and the positive (ect- and ect+)

  • @aminaahmedalibelal5676
    @aminaahmedalibelal5676 Год назад

    my variables are daily for the whole year, to estimate the optimal lag, LR FPE AIC and HQ showed the optimal lag is 8. should i have to choose 8? can i test the optimal lags with original data?

    • @DhavalSaifaleeAaryash
      @DhavalSaifaleeAaryash  Год назад +1

      No u hv to run VAR to check lags

    • @bellisma77
      @bellisma77 Год назад

      @@DhavalSaifaleeAaryash yes dr. I did which showed me the choosing by LR FPE AIC and HQ showed the optimal is 8.

  • @jenemilton4791
    @jenemilton4791 2 года назад

    good day sir.. what if my time series are cointegrating but the coefficient of the error correction is positive

  • @Pooja-cu9ek
    @Pooja-cu9ek Год назад

    Sir you tested that model is not homoscedastic is it right in VECM?

  • @Upbbf
    @Upbbf 9 месяцев назад

    How 0.60 is Less than 0.05