Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Model Selection and Choices


From   Syed Basher <syed.basher@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Model Selection and Choices
Date   Tue, 26 Apr 2011 23:18:39 -0700 (PDT)

Hi,
Here is a straight answer. I would first check for the unit root in the data. Depending on the results, select between stationary and nonstationary modeling. The case of non-lineariy should be dictated by economic theory. If, for example, unit root is present and the theory behind your economic model is non-linearity, you can then use nonlinear cointegration. The same logic applies for stationary variables. Hope this answers your question.

--
Syed Abul Basher
Qatar Central Bank
P.O. Box 1234
Doha, Qatar.
http://www.syedbasher.org/

From: Muhammad Anees <aneesmkhattak@gmail.com>
>To: statalist@hsphsun2.harvard.edu
>Sent: Wednesday, April 27, 2011 8:47 AM
>Subject: Re: st: Model Selection and Choices
>
>Hi All!
>
>I have a straight question on time series modelling. I have a 37 years
>annualized time series data on five variables. I want to check if
>linear or non linear modelling would be best in my case. Is there any
>way using stata to obtain results and to select model that best
>reflects my specific time series data.
>
>-- 
>Muhammad Anees
>MSc in Economics
>The University of Sheffield
>United Kingdom
>*
>*  For searches and help try:
>*  http://www.stata.com/help.cgi?search
>*  http://www.stata.com/support/statalist/faq
>*  http://www.ats.ucla.edu/stat/stata/
>
>
>

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index