All Questions
Tagged with ardl least-squares
7 questions
1
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1
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What properties must be verified for a simple OLS regression model with time series?
Let's say I have 3 time series variables, $(X_t)$, $(Y_{t})$, $(Z_{t})$ and I estimate the following model with OLS estimator (I believe this form is called ARDL) :
$$X_{t} \quad = \quad \alpha_1 X_{t-...
- 109
2
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1
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130
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Can I compute a VAR Model and then work on only one OLS equation?
Good morning,
I'm trying to estimate a VAR model between six variables and one of them is the price of copper.
What I'm interested in is only the equation of the copper prices and i'm running a VAR ...
- 123
1
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0
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69
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ARDL OLS assumptions?
can someone direct me to a paper etc. that states the assumptions of ARDL that need to hold for parameters to be valid?
ARDL is an OLS based model , does that mean the regular assumptions of Gauss-...
- 25
1
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1
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124
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Cointegration test; model with different number of explanatory variables
I have run an ADF test on the residuals of an ARDL and a DOLS model to test for cointegration. I have 3 explanatory variables and 1 response variable. When I run the ADF test on the residuals on both ...
1
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0
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422
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How would I interpret a dummy variable and interaction term in this time series analysis using ARDL?
I'm doing an econometrics paper analyzing the impacts of oil price shocks on GDP growth. In one of my models, I use change in nominal oil prices, a dummy variable representing negative oil price ...
1
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0
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370
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Maximum likelihood and OLS estimation of ARDL model under nonstationarity
Consider the simple ARDL(1,1) model $y_t=\beta_0+\beta_1y_{t-1}+\beta_2x_{t}+\beta_3x_{t-1}+\epsilon_t$
If $y_t$ and $x_t$ are non-stationary can I fit the model with OLS? If not, is assuming that $\...
- 73
10
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2
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41k
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Using non-stationary time series data in OLS regression
I am using 1983-2008 annual data to test if both Gini coefficients and gross national saving in China and the US can affect the US current account balance. The data seem to be non-stationary, but I am ...
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