The RATS Software Forum

Hello I did the Engle and Granger test between GDP and unemployment rate, however, it turns out that they are not co-integrated each other. I adopted your idea to run co-integration regression in first difference, but my supervisor asked me to still estimate ECM. He said estimating ECM on non-statio...

Hello I have a question about the ECM. I run the co-integration regression between GDP and unemployment rate, the equilibrium error from that is not stationary. Can i still run the error correction model? Experiences told us non-stationary data may lead to spurious regression. Thank you for your tim...

Hello,

Thank you for your kind advice!

Yang

I use the Error correction model to capture the relationship between GDP and unemployment rate. they are obviously not co-integrated in log, one way is to run cointegration regression in differences, which i did. However, my supervisor told me it might be wrong if i run the cointegration regression ...

Hi Thank you for your explanation! I did the co-integration test between GDP and Unemployment rate in log. The error term from the regression shows no stationary, actually there is a upward trend in the error term. I took the first difference, and then did the co-integration regression. But my super...

Hi I have tried ECM model, GDP as the dependent variable, and Unemployment rate as the independent model. However, the residuals is not stationary, actually, it has a clear upward trend. One suggestion is that include a linear trend in the equilibrium relation to control the error. How can i add the...

Thanks, i am writing my master thesis now, i guess i am not competent to use
the complicated model for seperating the variance and mean switching.

Thank you for the explaining!
Yes, should i say the structure breaks is from the volatility shift, because there is the narrow gap between mean
in two states.
If that is the case, which model should i choose?
Thank you!

OPEN DATA "C:\Users\Yang\Desktop\Data of the thesis\GDP_1950_2012.XLS" CALENDAR(Q) 1950:1 DATA(FORMAT=XLS,ORG=COLUMNS) 1950:01 2012:04 GDP ******************************************************* set LGDP = log(GDP) set DLGDP = LGDP - LGDP{1} ***********************************************...

Thank you for your explanation! I used two state MS model to estimate the US GDP from 1950:01 to 2012:04 the output i got is St = 1: optimistic state, μ1 = 0.0135 St = 2: pessimistic state, μ2 = 0.0188 P11 = 0.963; P22 = 0.964 St = 1: ξ1 = 0.00002 St = 2: ξ2 = 0.00020 I do not know why i got this re...

Thank you so much for your suggestions. I have also one problem aboutthe two statements, how can i divide my data set to two states accoding to Hamilton. The mean the US GDP from the Markov switching model are both positive in two states, And i want to divide it to two states and then compare with t...

Hi everyone
can anyone teach me how to draw the NBER as a shadow area and compare with the filter probability?
Thank you so much!

Hi eveyone
Can anyone tell me how to divide my GDP data to different sentiment of the business, let's say expansion and recession.
Thanks a lot!