alim wrote:Hi everyone
I am looking your help because without your help I can not overcome the following problems.
I have 12 variables in one equation. Three variables are stationary at level and nine variables are stationary in first difference. I make all 12 variables first difference (same order) and I did Johansen co-integration test. I find the results that seven are co-integrated and five are not co-integrated. I am looking your help how do I estimate this equation i.e., I will consider to estimate all variables at level or first difference. Please help me.
alim wrote:Dear TomDoan
Thank you for your help and guideline. I like to request you to give me the following two questions:
1. If I use Engle-Granger two step procedure or one step procedure as an estimator then the result will be appropriate or not or I have to do something else.
alim wrote:2. If the co-integration results show that in one equation 11 variables are not co-integrated and 1 variable are co-integrated then we can consider the data 1st difference to estimate (all 12 variables are stationary at 1st difference)
T_FIELD wrote:Dear Tom Doan,
Could you help me?
I have a similar problem.
In my regression, the dependent is I(1), one independent is I(0), and the others are I(1).
All data are in level and I do not want to use their difference if possible.
My queations are:
(1) Is it possible to use Baysian regression to avoid spurious regression?
** In baysian, I think we can not have such a asymptotic problem.
T_FIELD wrote:(2) If I use ECM, how do I make the regression equation?
** As you said, it is neither level nor difference. But I have no image for this.
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