Hi, what if one is using Panel ARDL-ECT with DFE? as ARDL (2 2 2 2 2 ), does one need to use xtpmg+dfe first to run this estimated model and to generate first residuals? And then use these residuals in xtcd? I see that many people use as an example xtreg + fe, but, not everyone is using linear fixed effects models, or that does not matter for CD tests?
Hi! Im using STATA 12. I cannot run the false variables by just adding d. It says - "factor variables and time series operators not allowed". why is that? what can i do about this?
Hi thanks for the video. However I notice that the pooled OLS results are exactly the same as those for random-effects model. I think the right syntax for pooled OLS should be regress lninvest lncapital lnshare
I will advise you transform your variables (log) or divide your regression into subgroups to correct to heteroskedasticity. If serial correlation persists, you can increase the number of lags in the model. Overall. Your results should pass serial correlation and heteroskedatocity Test.
i am working on a research. I can not write down my GMM code on stata. Can anyone give me the code for below variables? Dependent variables are :- OP ROA ROE TQ and independent variables are:- LnAdv LR IR DR NPL Size. Please someone provide me a code for two step GMM.
Cheers for the detailed tutorial! Correct me if I'm wrong but can you draw the same graph using an eloquent regression that mimics what you've just done? My prof. was asking me to put logGDP as a dependent variable and use year as independent with squared time period as well. But using your method here, I've reached the same result. Thanks
Thank you for your informative videos. I have a question about choosing between the ARDL and FGLS models given my data's characteristics (T>N, but T=16 and N=7, heteroskedasticity, and slope heterogeneity). In this case, can the FGLS model be used in place of the ARDL model when some variables are stationary at I(1) and I(0) and there is cointegration between them? Sorry if my question sounds basic. I am new to these types of models. Appreciate your insights.
Thanks.. I watched your video on how to convert annual data to quarterly or monthly data. After the conversion, i tried summing the values of the first four quarters of a particular year and took the average, but it di not give me the initial annual value. Same for all values, so what do i do at this stage? Thanks
@josephlanre Sir, I appreciate your reply. I have checked that video of you and run regression based on that code. But it's not working. If I may request you, please make a detailed video on Stata or eview for the panel.
Thanks for this video, Joseph. Very helpful. By the way, there seems to be a small mistake with the code for increases in the exchange rate. Assuming dexchr<=0 represents a decreasing rate (as you did), it would be incorrect for dexchr>=0 to represent an increasing rate since "=0" has already been taken as part of decreasing. The correct code for an increasing rate would be dexchr>0.
Hi Joseph, Thank you for this. I have weekly data to convert to daily. However, some of the panel options exhibited in your demonstration are not available in my Eview. Im using a Student version of it. Please shade me some light. Appreciated
Hi Sir. May i know if these steps are applicable to the threshold model developed by Khan & Senhadji (2001)? Another question is also applicable for time series that have stationary variables?
hi.could you tell the importance of taking lag.and how many lags are optimum for detecting stationarity.because when i take different lags ,it affects the stationarity.or if data becomes stationary after taking first difference.can we include diffeenced form of the varaible in the data.how could it affect the interpretation.dont we need stationarity for stationary panel estimations techniques like fe/re.even if we have shorter time periods
Sir please guide me in one paper he writes the CD test , Corr , abs corr and Im-Pesaran-Shin test for level in data table but in result Breusch Pagan LM, Pesaran Scaled LM and Pesarean CD test. please guide about it. thank you in anticipation