In this post, I will show how to do recursive estimation to determine how robust are your panel estimates to outliers. I saw first time this procedure in Herzer and Nunnenkamp (2013). Basically, if you have a panel of 160 countries, you will determine how change the coefficient estimates and their significance when a certain […]
Mean Group Panel VECM and causality tests
Dear all, This time, I will introduce you a new R package that I have been working on. I created it because since long time ago I was interested in VECM estimation in heterogeneous panels and I was not alone. In general, several researchers have shown their interest in this procedure. To my knowledge, this […]
How to demean your panel data?
When you are working with panel data, many methodologies require your data to be cross-sectionally independent. However, almost always your raw data will have cross sectional dependence. Unfortunately, many packages and procedures for panel data analysis in R, Stata, Eviews and Gretl have not incorporated the option of automatically incorporate the cross sectionally demeaning the […]
Applied ARDL model step by step.
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 […]
Unit root with breaks testing for several time series at once
Dear visitor, If you have not even heard about Gretl. Please don’t panic, I will walk you the way very well. All that fear about a new software will disappear. After all, if you are here maybe it is because many other more popular unit root tests are not suitable for your analysis. For example, […]
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 […]