Hello friends, In this post, I will describe how to apply all the ARDL methodology for free. By free, I mean that we will use not paid software to perform the ARDL methodology. More precisely, we will combine R with Microfit 5.5. As I always mention, if you are not proficient in R, I have […]
Category: Time series
Granger Causality for nonstationary series: Code for the Toda-Yamamoto (1995) procedure to a whole database.
In this post I will describe how to use a code that applies the Toda and Yamamoto (TY) procedure to a whole database. As always I try to achieve, you only need a very basic knowledge of R to use the code. TY requires a previous knowledge about the order of integration of the series. If […]
Testing strategy for unit root tests: solution to make it extremely easy and fast
Only few econometric books teach us which strategy we should follow when performing unit root tests. I mean, when you have a time series, how you should proceed to perform the unit root test (to determine if you need a trend, for example). In general, there are two main approaches. One is the Enders (2004) […]
The ADF test and the issue of residual correlation: a recipe to deal with this.
In my undergraduate studies, I learnt that the unit root tests had low power. What is worse, if there is serial correlation in the specification of the Augmented Dickey Fuller (ADF) test, the result may be biased. As the title of this post indicates, I will talk about how the ADF test is done in, as far as I […]