Timeline for What does this notation mean?
Current License: CC BY-SA 3.0
11 events
| when toggle format | what | by | license | comment | |
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| Aug 18, 2015 at 20:05 | comment | added | Richard Hardy | For the first step of the Engle-Granger cointegration testing, use the model $Y_t=\beta_0+\beta_1 X_t+\varepsilon_t$ and explore the stationarity (or lack thereof) of the residual. Meanwhile, the VECM equation you have up there should not be used for this purpose. But once you establish presence of cointegration, you can specify a VECM and proceed with it. | |
| Aug 18, 2015 at 20:02 | answer | added | Richard Hardy | timeline score: 8 | |
| Aug 18, 2015 at 19:36 | history | edited | Richard Hardy | CC BY-SA 3.0 |
added 18 characters in body
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| Aug 18, 2015 at 19:19 | comment | added | Jasmine | Thank you. I am learning cointegration test. I used EG test the regression function is Y = c + aX+e, e is error term. but recently someone suggests me another model : △Y= C + aY(t-1) + bX(t-1) + c△Y(t-1）+ d△Y(t-2) + e△Y（t-3)...... + f△X（t-1) + g△X(t-2) + h △X（t-3)......The first step of EG test is building a regression function, can I use this model and test the stationary of residual? | |
| Aug 18, 2015 at 19:12 | history | edited | gung - Reinstate Monica | CC BY-SA 3.0 |
light editing & formatting
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| Aug 18, 2015 at 19:10 | answer | added | Aksakal | timeline score: 6 | |
| Aug 18, 2015 at 19:03 | history | edited | whuber♦ | CC BY-SA 3.0 |
added 25 characters in body; edited tags; edited title
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| Aug 18, 2015 at 18:57 | review | Close votes | |||
| Aug 18, 2015 at 19:12 | |||||
| Aug 18, 2015 at 18:49 | comment | added | Richard Hardy | I do not quite get the question, but I will try. Although a pair of parentheses is missing, this is one equation from a vector error correction model (VECM, or VEC model). Did I answer your question? | |
| Aug 18, 2015 at 18:32 | review | First posts | |||
| Aug 18, 2015 at 19:02 | |||||
| Aug 18, 2015 at 18:32 | history | asked | Jasmine | CC BY-SA 3.0 |