All Questions
Tagged with ardl vector-autoregression
8 questions
2
votes
1
answer
130
views
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
0
votes
0
answers
1k
views
How to deal with a mix of I(1) and I(2) variables?
I have one dependent variable which becomes stationary after the first difference I(1).
There are 4 independent variables, out of which 2 become stationary after the first difference and the other two ...
- 1
1
vote
1
answer
170
views
Should I use a ARDL if I have more than one cointegrating relationship?
I have a four time series variables. They are a mix of I(0) and I(1) variables. There is also more than one cointegrating relationship among the variables. If there is more than one cointegrating ...
- 65
3
votes
2
answers
1k
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How to deal with a mix of I(1) and I(0) variables?
It seems that choosing the appropriate model for a mix of I(1) and I(0) variables is an hot topic on Stack Exchange but I was not able to find the solution I am looking for :
Considering a TS model ...
- 31
4
votes
1
answer
7k
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Difference between Distributed Lags and VAR Models
What would be the difference of estimating a variable inside and outside a VAR model? Namely, if I know the relevant explanatory variables to model a certain variable in a time series framework, what'...
- 1,402
2
votes
1
answer
4k
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Multicollinearity, variable selection for cointegration testing in ARDL and VECM/VAR frameworks
I have 15 variables some of which are highly correlated. I want to run a cointegration test in the ARDL and VAR/VECM frameworks. Due to the correlation multicollinearity is a big problem; however, I ...
- 475
3
votes
1
answer
3k
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VAR/VECM/ARDL optimal lag selection
Question 1: Is it necessary to consider AIC and the BIC criteria when selecting the lag for a VAR, VECM or ARDL model OR can I use something else?
Example: Can I pick 12 lags because the model simply ...
- 475
4
votes
1
answer
3k
views
Vector autoregression for mix of stationary and nonstationary variables
I am currently investigating the impact of certain indicators such as GDP and inflation on the stock market. However some of my variables are non-stationary and some stationary in levels. All ...
- 475