Tagged Questions

1
vote
1answer
85 views

Constructing a VECM with a mix of I(0) and I(1) variables

I've been using the Johansen Procedure to check and correct for cointegration in my model, by estimating a VECM instead of VAR. But now I want to estimate a new model, in which I expect the same ...
0
votes
1answer
79 views

Error correction model (to test for asymmetry) with stationary I(0) variables

I have price series which are all stationary without taking any difference --> I(0). Can I still perform an ECM model to test for asymmetry? For example: Y= constant X; taking the residuals and ...
0
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0answers
103 views

VECM with multiple cointegrating vectors

Hello there I estimated a VECM and from the cointegration tests it revealed there are two cointegrating vectors. When I ran the VECM I used two cointegrating vectors. In my output, there are two ...
0
votes
0answers
38 views

Panel unit root tests

I am working on Panel unit root results. All the variables are stationary except one variable at first difference in one test (namely LLC), the rest of the tests (i.e., IPS, FisherADF and Fischer PP), ...
0
votes
1answer
127 views

Johansen's $\Pi$ is full rank except variables are non-stationary

I have two variables. They're both $I(1)$ even when I fit constant and trend terms into the ADF test. The $p$-values for the stationarity tests are around 0.5 so it's not a marginal case. However, ...
0
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0answers
114 views

Difference between unrestricted VECM and restricted VECM?

What's the difference between an unrestricted and a restricted VECM? I believe a hint lies within the cajorls()[1] function of R language's ...
0
votes
1answer
99 views

Putting stationary variables through Johansen procedure

Is it okay to feed $I(0)$ variables into the Johansen procedure? I've read three sources that seem to state that this is not what you're supposed to do. However, whenever I've done this, I notice that ...
0
votes
1answer
289 views

Vector error correction model

I am working on finding the relationship between equity, gold, crude oil, and currency value. I used the Johanson cointegration test. Trace test indicates 4 cointegrating equations at the 0.05 level. ...
1
vote
1answer
313 views

Cointegration testing with a dummy variable

I have the model: $y_t = \alpha + \beta_1 x_t + \beta_2 D_t x_t + \epsilon_t$ With $y_t$ and $x_t$ as $I(1)$ processes, and $D_t =1$ during a large financial crisis, $D_t = 0$ during non-crisis ...
0
votes
0answers
103 views

Cointegration regression - how to solve sensitivity to ordering of variables

I have a few variables, $A$, $B$, $C$, $D$, and $E$. To find their cointegration coefficients, $A$ is regressed against $B$, $C$, $D$, and $E$. $$ A = W_b * B + W_c * C + W_d * D + W_e * E + W0 $$ ...
0
votes
0answers
136 views

Testing threshold cointegration in vector error-correction models

In Hansen and Seo's paper on Testing two regime threshold cointegration in VECM (J. Econometrics, 2002; 110:293), the authors proposed a test based on Lagrange Multiplier for testing treshold in ...
2
votes
0answers
106 views

Computing (lagged) correlations (or similar) between multiple time-series from a VECM or its levels-VARM

Ok, after trying to find a way to get all lagged and non-lagged - correlations from multiple time-series (behavioral series with length around 180) I've confined myself to the following: I have ...
4
votes
2answers
251 views

What does that mean that two time series are colinear?

I am familiar with the concept of cointegration. But I hear sometimes people talking about colinearity (or collinearity) for time series. A set of points is collinear if they are on the same line. ...
2
votes
2answers
243 views

How to check if a time series is I(1) in R?

I'm testing the cointegration of two time series of stock prices using adfTest from fUnitRoots, but first I need to check if the series are I(1). How can I check if a time series is I(1)?
5
votes
3answers
828 views

What is the correct procedure to choose the lag when performing Johansen cointegration test?

When preforming Johansen Cointegration test for 2 time series (the simple case) you need to decide the lag you want to use. Doing the test for different lags return different results: for some lag ...
1
vote
0answers
139 views

Fractional integration and cointegration with R

I am currently reading about fractional integration in the context of error correction models. Does anyone know of a package in r that has a function for Sowells maximum likelihood estimator of d?
3
votes
1answer
237 views

Are two identical time series cointegrated?

I wonder if two identical time series are cointegrated. Can anyone shed some light on this? Thanks
2
votes
1answer
97 views

Interpretation of an integrable time series of an order zero

REF: http://en.wikipedia.org/wiki/Order_of_integration What is the interpretation/intuition behind a time series integrable of order 0? I am reading something on cointegration and this is not yet ...
1
vote
1answer
187 views

Testing two I(1) vectors for a relationship

Suppose I have two I(1) time series X and Y, and I want to know whether X and Y are "related" (for some definition of "related"). The standard cointegration approach defines relationship as ...
1
vote
1answer
594 views

Lagged Exogenous Variables in VECM with R

Looking to estimate a VARX(p,q) type VECM in R if possible. I'd like to estimate a VECM with p lags (lags relative to the level, not diff of the vars) on the ...
6
votes
2answers
382 views

Resources for learning about spurious time series regression

"Spurious regression" (in the context of time series) and associated terms like unit root tests are something I've heard a lot about, but never understood. Why/when, intuitively, does it occur? (I ...
22
votes
5answers
4k views

Time series 'clustering' in R

I have a set of time series data. Each series covers the same period, although the actual dates in each time series may not all 'line up' exactly. That is to say, if the Time series were to be read ...
11
votes
2answers
393 views

Does a cointegration model exist for irregularly spaced time series?

It isn't clear to me how to calculate cointegration with irregular time series (ideally using the Johansen test with VECM). My initial thought would be to regularize the series and interpolate ...