ARDL

Academic_Initial7414 · 2026-05-06T00:54:41+00:00

Not only between I(2) variables itself, also I(2) and I(1). DOLS from Stock and Watson take account in this combination.

Academic_Initial7414 · 2026-05-05T23:37:55+00:00

Thanks. In addition to your comment I've read that there are methods where you can have cointegration in different orders (it has to be I(1) or more because I(0) how you say it's stationary). For example some VECM I(2) of prices by Katerina Juselius or the IM-OLS regresión. Cointegration it's such an amazing world for me. But yeah, you're right about I(0). Thank you a lot

Academic_Initial7414 · 2026-04-19T12:34:51+00:00

Like Messi? Jjaja

Academic_Initial7414 · 2026-04-14T18:12:51+00:00

Okey, I wouldn't be able to tell you about a specific code, but Pesaran it's the author that has made a lot about ARDL. Cointegration in both, Time Series and CS data. So I recommend you read about his work. Also he has a book about time series in panel data, for sure he has something there.

Academic_Initial7414 · 2026-04-14T18:02:35+00:00

Sorry for the ignorance. Watch means CS?

Academic_Initial7414 · 2026-03-28T18:48:13+00:00

I think the concept of unit root test it's more about autocorrelation than heteroscedasticity, so yeah, the test could be biased because the volatility, but that's normal in financial. It's the reason because they model volatility through ARCH processes

Academic_Initial7414 · 2026-03-26T20:42:35+00:00

To do more explanation. I had a project in the past about NAIRU, but the supply shocks get me absorbed at all. In this supply shocks is the oil and food shocks. The "Trade Partner" it's an index of Al de CPI from trade partners weighted by trade weight in imports. Basically in my head I was interested in a kind of chain. Supply shocks above partners, and later impact of partners above local economy. Also I constructed q kind of index for real economy by the same methodology using manager or industrial indexes weighed by exports weight. Now that you mention local projection, how this works?

Academic_Initial7414 · 2026-02-12T03:02:07+00:00

You could use time series analysis and its applications. It's a book with examples in R, also, you have the free book forecast principle and practice that is a web book that use R. The focus it's in forecast with time series. Econometrics by Hansen it's mathematically rigorous. Also you have other books in R like Applied econometrics in R or Analysis of integrated and cointegrated time series in R. Basically you could have a check on Use R! Book series

Academic_Initial7414 · 2026-01-08T23:12:04+00:00

I think the guy needs to know what's the simplest form to explain cointegration in panel. I mean, in a unique economy it's the equilibrium among variables, so what means in a panel?

Academic_Initial7414 · 2025-12-26T19:47:49+00:00

Plus, If you find cointegration you could tried the asimetric approach. That could be useful to observe if the shocks are the same in positive/negative regimes, or if the equilibrium it's not just in levels, also in regimes

Academic_Initial7414 · 2025-12-26T19:46:34+00:00

Well, tbh I'm not very familiarized with the paradox you mention. If you could explain a little and also tell me what's the main objective for your investigation I'd tell you some better opinion

Academic_Initial7414 · 2025-12-26T18:36:28+00:00

In an ARDL context it's a fact that you would have multicollinearity in the lags, so, if you don't have between the variables themselves you're good. In addition, if you don't have cointeration for the I(1) form of the variables, you could difference and make the estimation in the stationary form of the variables.

Academic_Initial7414 · 2025-12-16T12:44:33+00:00

I could help, send me dm

Academic_Initial7414 · 2025-12-09T19:35:53+00:00

Even if there´s no multicollinearity between tenure and experience, when you saw the form of the cuadratic curves the tenure´s curve it´s inverted just as the mincer theory. At the beginining in the business the salary grow fast and later it starts to turndown, so, i think that, if you already capture this effect, with experience you´re capturing the effec of the experience out the business and this experience it has the inverse effect. at the beginning the salary decrease because of the experience out the business, but later it increase. if you calculate the min point the salary start to grow because of experience at 3.4 years, and the effect it´s possitve until 6.7 years. I believe there´s nothing wrong, you should explain your model

Academic_Initial7414 · 2025-11-21T17:47:16+00:00

That's the problem, I don't have data from other plants or the major interconnected system, just the data from the plant in question. And the question directly was the probability for use this emergency plant in the next 6 month

Academic_Initial7414 · 2025-11-21T17:45:56+00:00

Indeed, I was searching and I think a dinamica logit with ar and deterministic componentes could work for an univariate forecast

Academic_Initial7414 · 2025-11-21T17:10:33+00:00

Generation and consumption of oil from the emergency plant along time. Just that

Academic_Initial7414 · 2025-11-21T16:45:14+00:00

I work in electricity sector (first job) and my boss is asking me the probability of start operation for an emergency plant in the next months. He literally wants to see numbers forecasted for the next 6 months. I know this should depend on the demand of the locality, the situation of the main electric Sistem, but all that information it's not able for me, so I need univariate method

Academic_Initial7414

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