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May
21
comment What is the correct procedure to choose the lag when performing Johansen cointegration test?
Have a look at: A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu: CLIVE W.J. GRANGER, BWO-NUNG HUANG, AND CHIN WEI YANG
May
18
awarded  Revival
May
7
comment How do you choose the order p and q for ARMA(p,q) process for modeling a time series?
Have a look at standard time series econometrics textbook like Hamilton (1994) or Enders (2005).
Apr
29
awarded  Popular Question
Apr
26
comment Causality in microeconometrics versus granger causality in time-series econometrics
Given T=20, I think there will be omitted variable bias because of ignoring long run information (error correction term) if the series are cointegrated. As in your example, if the treatment changes in different states and different times and if this treatment is cointegrated with the outcome, then obviously your dynamic model suffers from omitted variable bias. The question is whether the treatment, since it is a dummy variable, can be considered I(1). Alternatively,you consider treatment as an exogeneous variable in long-run and short-run eqns and obtain causal effect (long run and short-run)
Feb
22
awarded  Revival
Jan
14
comment Linearity between predictors and dependent variable in a linear model
The multicollinearity is the problem only when the explanatory variables are highly correlated. One way to test this is to use variance inflation factor or condition index.
Jan
7
answered AIC guidelines in model selection
Jan
7
comment Is it true that $E[e^{tX}] \le e^{E[t^2X^2/2]}$?
I think this has something to do with Jensen's inequality: en.wikipedia.org/wiki/Jensen%27s_inequality
Dec
5
awarded  Notable Question
Nov
23
accepted Graphs in regression discontinuity design in “Stata” or “R”
Oct
11
awarded  Yearling
Oct
10
comment if standard error that is heteroskedastic is corrected using E-views, does it become homoskedastic?
Always use robust standard error if it is different from usual se.
Oct
7
comment Getting p-values from a mixed-effect ANOVA
This question appears to be off-topic because it is about statistics
Oct
2
comment RAM requirements for multivariate regression in SAS and R?
For R: see adv-r.had.co.nz/memory.html
Sep
27
comment Basic misunderstanding with the Augmented Dickey Fuller test
Yes $\rho$ is -4 but for the convergence (which is stationary) in eq 3 (this is the first difference equation), absolute of $\rho$ should be less than or equal to one. With gamma=-5 this convergence is not achieved (you are, however, correct to say that literature just says null is rejected when gamma<0) (unit root and non stationary are same thing). You can try doing simulation and see the plots.
Sep
27
answered Basic misunderstanding with the Augmented Dickey Fuller test
Sep
23
comment How to evaluate $\int_{0}^{\infty} x^4 e^{-x^2/{\beta}^2}dx$?
In R, you use (assuming beta=1) integrand<-function(x){(x^4)*(exp(-(x^2)/2))} and then integrate(integrand,lower=0,upper=Inf) with results= 3.759942 with absolute error < 7.2e-06
Sep
23
awarded  Constituent
Sep
22
revised Meaning of output of function “ar” in R
added 147 characters in body