Thanks very much for the suggestions and the fix. Things are clear to me now.
Cheers
Talha
On Thu, Mar 8, 2012 at 11:07 AM, Ignacio Diaz-Emparanza
wrote:
> El 07/03/12 15:56, Talha Yalta escribió:
>> Hi all,
>>
>> I have a few questions/issues to report with a cointegration example
>> that I
El 07/03/12 15:56, Talha Yalta escribió:
> Hi all,
>
> I have a few questions/issues to report with a cointegration example
> that I am trying to simulate using:
>
> nulldata 500
> setobs 1 1950 --time-series
> series u1 = randgen(N,0,1)
> series u2 = randgen(N,0,1)
> series Z1 = 0
> series Z1 =
On Wed, 7 Mar 2012, John C Frain wrote:
> 2) Consider simulating the model in VECM format. Otherwise I see no
> problem with your approach.
Better still IMO: cast your model in VAR (levels) format and then use the
varsimul() function; there will be some series/list/matrix conversions to
do,
On 7 March 2012 22:43, Sven Schreiber wrote:
> On 07.03.2012 23:18, John C Frain wrote:
>> 1) I think you will find that
>>
>> vecm 1 1 Z2 Z1 --rc
>>
>> estimates your system very well. I dont see the problem.
>
> I think Talha means to see unit roots in the output; which is good news,
>
On 07.03.2012 23:18, John C Frain wrote:
> 1) I think you will find that
>
> vecm 1 1 Z2 Z1 --rc
>
> estimates your system very well. I dont see the problem.
I think Talha means to see unit roots in the output; which is good news,
however, since the data were constructed to have them.
>
> 3)
1) I think you will find that
vecm 1 1 Z2 Z1 --rc
estimates your system very well. I dont see the problem.
2) Consider simulating the model in VECM format. Otherwise I see no
problem with your approach.
3) If the series are not cointegrated then the residuals from the
cointegrating
On Thu, 8 Mar 2012, John C Frain wrote:
> On 7 March 2012 22:43, Sven Schreiber wrote:
>> On 07.03.2012 23:18, John C Frain wrote:
>>> 1) I think you will find that
>>>
>>> vecm 1 1 Z2 Z1 --rc
>>>
>>> estimates your system very well. I dont see the problem.
>>
>> I think Talha means to see unit
Hi all,
I have a few questions/issues to report with a cointegration example
that I am trying to simulate using:
nulldata 500
setobs 1 1950 --time-series
series u1 = randgen(N,0,1)
series u2 = randgen(N,0,1)
series Z1 = 0
series Z1 = Z1(-1) + u1
series Z2 = 75 + 0.75*Z1 + u2
1)- When I run a
