Re: [Gretl-users] OLS problem
Hi,
allow me a meta remark first: This is not a gretl-specific question, and
IMHO does not really belong on this list.
Having said that, from the description of the problem the mentioned
"solution" is certainly not what Katarina Juselius would suggest. If you
have several I(1) variables, fine, look for cointegration among them.
Nothing prevents you from adding further I(0) variables to your model
afterwards. However, note the "if" part: since you seem to be talking
about shares, the non-stationarity in these variables should be
something other than I(1)-ness, at least strictly speaking. There is no
general rule how to proceed, opinions differ.
cheers,
sven
On 08/10/2012 10:04 AM, Matthieu Stigler wrote:
Emiel
As far as I know, you can run a regression with regressors that are
originally of different integration orders, provided you first
difference the I(1) variables, so that your regressions contains only
I(0) variables. This is done and advocated for example (although
slightly different method) in Juselius book on cointegrated VAR, where
some variables are kept I(0).
Best
Matthieu
Le 10/08/2012 09:58, Emiel Denuwelaere a écrit :
> Hello,
>
> For my school these, i am doing research to investigate the effect of
> different variables on the reserve currency shares of different
> currencies. Before i am working with panel data, i liked to make an
> OLS estimation on the dollar. So i'm using time series data. I checked
> the variables for stationarity using the ADF-test, and it seems that
> the dependent variable is non-stationary along with two explanatory
> variables. The other 4 explanatory variables are stationary. Since you
> cannot run regressions with variables of a different integration, i am
> not sure how to proceed.. I suggest it is not appropriate to just take
> the first differences of the non-stationary variables?
>
> Any help on this topic would be very much appreciated. Thanks in advance.
> For additional info on the data/research, please do not hesitate to
> contact me.
>
> --
> Met vriendelijke groeten,
>
> Emiel Denuwelaere
>
> M: +32 (0)476 56 08 75
> E: emiel.denuwelaere(a)gmail.com <mailto:emiel.denuwelaere@gmail.com>
>
>
>
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