Am 22.08.2020 um 17:59 schrieb Artur Tarassow:
Am 22.08.20 um 17:34 schrieb Sven Schreiber:
Am 22.08.2020 um 10:55 schrieb f.march...@studenti.unibg.it:
Thank you for your answer. Following the literature I adopted the
following equation:
DLnTBt=a'+Σb'*DLnTBt-k+Σc'*DLnYt-k+Σd'*DLnYWt-k+Σe'*DPOSt-k+Σf'*DNEGt-k+θ0*LnTBt-1+θ1*LnYt-1+θ2*LnYWt-1+θ3*POSt-1+θ4*NEGt-1+εt
where POSt and NEGt are the two variables obtained from the partial
sum of positive and negative changes of the lnREX variable.
OK. Please try to use at least some blanks to increase the readability
of such a formula line in pseudo-code. (Of course Latex notation would
also help, but not necessary.)
(BTW, I've seen these constructed partial sums before, but I don't
remember whether it was actually OK to apply the standard regression
inference theory to them. The answer above ignores those doubts and is
just about a restriction formulation in gretl.)
Standard regression inference theory applies here too as shown by Shin
et al. They show that for both long- and short-run tests on symmetry.
The reference is:
https://link.springer.com/chapter/10.1007/978-1-4899-8008-3_9
Strictly speaking they require a conditional ECM it seems. From
F.Marchini's formulation is not clear whether that holds. (Whether k
starts at 0.)
cheers
sven
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