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Re: st: Model Selection and Choices


From   Muhammad Anees <aneesmkhattak@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Model Selection and Choices
Date   Thu, 28 Apr 2011 11:46:55 +0500

Thanks Yafee and Basher!

I was away for a few days due to the death of my family member. I
would try to use the BDS test and will reply. Basher! I have already
tested these variables I know well how to proceed to test for
cointegration. My question is how I can I test if linear or non-linear
modelling applies to data I have. I think Yafee suggestions would work
but let me test it and show you my conclusion.

On 27 April 2011 11:18, Syed Basher <syed.basher@yahoo.com> wrote:
> 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/
>



-- 
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/


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