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I want to estimate ADF regression SUR system with "trend" varriable but i
couldn't see any options for this. Is there any way to add "trend"
varriable test statistics equations.
Attachments:
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Am 16.02.2015 um 20:10 schrieb Samet Tandoğan:
I want to estimate ADF regression SUR system with "trend"
varriable but
i couldn't see any options for this. Is there any way to add "trend"
varriable test statistics equations.
Sorry I don't see the connection between ADF and SUR. Adding a trend to
a standard ADF is possible in gretl.
cheers,
sven
I think the questions refers to Allin's function package.
Artur
On 16.02.2015 20:46, Sven Schreiber wrote:
Am 16.02.2015 um 20:10 schrieb Samet Tandoğan:
> I want to estimate ADF regression SUR system with "trend" varriable but
> i couldn't see any options for this. Is there any way to add "trend"
> varriable test statistics equations.
>
Sorry I don't see the connection between ADF and SUR. Adding a trend to
a standard ADF is possible in gretl.
cheers,
sven
Am 16.02.2015 um 20:48 schrieb Artur T.:
I think the questions refers to Allin's function package.
ah ok I see
Artur
On 16.02.2015 20:46, Sven Schreiber wrote:
> Am 16.02.2015 um 20:10 schrieb Samet Tandoğan:
>> I want to estimate ADF regression SUR system with "trend" varriable
>> but
>> i couldn't see any options for this. Is there any way to add
"trend"
>> varriable test statistics equations.
>>
Quickly looking at the help text of that package reveals something about
adding a "drift". In this context a drift and a trend should be
basically the same thing (under the null hypothesis at least).
hth,
sven
On Mon, 16 Feb 2015, Samet Tandoğan wrote:
I want to estimate ADF regression SUR system with "trend"
varriable but i
couldn't see any options for this. Is there any way to add "trend"
varriable test statistics equations.
In the suradf package you use the "drift" parameter to allow a
stochastic trend.
--
Allin Cottrell
Department of Economics
Wake Forest University, NC
3355
days inactive
3355
days old
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