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Matifou
  • Member for 8 years, 8 months
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23 votes

Why use vector error correction model?

15 votes

Test model coefficient (regression slope) against some value

12 votes
Accepted

Using lasso for feature selection, followed by a non-regularized regression

11 votes

How to summarize data by group in R?

11 votes

How do I fit a constrained regression in R so that coefficients total = 1?

6 votes

Two stage models: Difference between Heckman models (to deal with sample selection) and Instrumental variables (to deal with endogenity)

6 votes
Accepted

Test for the significance of the effect of an intervention in a time series

6 votes

Effect of switching response and explanatory variable in simple linear regression

5 votes
Accepted

Estimation of VECM via ML and OLS

5 votes
Accepted

OLS versus ML estimation of VECM

5 votes

Estimating the break point in a broken stick / piecewise linear model with random effects in R [code and output included]

4 votes
Accepted

What's the practical difference between the Johansen vs Engle-Granger tests for cointegration?

4 votes
Accepted

Why is there a need to do OLS regression of VECM?

4 votes
Accepted

Relationship between cointegrating relationship found via PCA and that found via a Johansen test

4 votes

Estimation of a VEC model in R (standard errors)

4 votes

How to create an arbitrary covariance matrix

4 votes

Why does a fixed-effect OLS need unique time elements?

4 votes

Prediction from VECM in R using external forecasts of regressors

4 votes
Accepted

auto.arima and parameter estimation

3 votes

"Branching Stick" Regression

3 votes

Use ACF and PACF for irregular time series?

3 votes

Purpose of the first step in Engle-Granger cointegration test

3 votes

Cointegration in R - Standard error, test statistic and p-value of weights

3 votes
Accepted

VAR lag length vs Johansen cointegration test outcome?

3 votes

Difference-in-differences with individual level panel data

3 votes

Imputing missing observation in multivariate time series

3 votes

PCA on prices or returns

3 votes
Accepted

Is series cointegrated if residual is stationary under time-varying coefficient regression?

3 votes
Accepted

Deriving the common LIML estimator from first principles

3 votes
Accepted

How to test if time series are not cointegrated?