Asymmetric Error Correction Model Stata
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Error Correction Model Stata Example
only Polls only Filtered by: Clear All new posts Tor Jakobsen New Member Join Date: Apr 2015 Posts: 18 #1 Interpretation ARDL/Asymmetric error correction model, with interaction terms 16 Apr 2015, 13:31 Sorry for the long post. It is difficult to make it shorter, because then I will loose crucial points. I am writing a master thesis on the gasoline market in Norway. My master thesis is supposed to be a replica Verlinda (2008) ”Do rockets rise faster and feathers fall slower in an atmosphere of local market power”. Verlinda use the same econometric model as Borenstein, Cameron and Gilbert (1997) ”Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes”, but introduce heterogeneity among gasoline stations regarding the ”rockets and feathers” effect ie. the asymmetry effect. I am very confused regarding the interpretation from my regression. I will be very very thankful for any hints or tips. First I have estimated a static long term model by OLS. Then I have predicted the residuals. I have put the residuals into a dynamic model, in according to the rockets and feathers litterature. The results from the dynamic OLS model are given below. Here I have used zero lags for simplification, and thereby included only the difference of COST from period zero. I have four market characteristics besides constant terms: 1) Population per square meter 2) Median income 3) Population 4) Number of competitors within 10 minutes (maximum is set to four competitors) Each of these market characteristics are continous variables, counting from zero to one. In the dynamic model I use interaction terms for each of these characteristics, for example: Product price * Population Product price positive * Population Residual * Population Residual positive * Population My final goal is to estimate the isolated effects on asymmetry, ie. rockets and feathers; when one of the population characteristics increases, for example when population increases. Now, the big question is how I interpret the coefficients from the dynamic regression. What follows is mye suggestion on how to interpret. The isolated effects on pricediff0 when corrected from the above market characteristics are the constant terms (productpricediff0, productpricediff0pos, resmin1, resmin1pos). Eg. the extra effect from popul
material JEL Classification NEP reports Subscribe to new research Search Pub compilations Reading lists MyIDEAS More options are now at bottom of page IDEAS is a service hosted by the Research Division of the Federal Reserve Bank of St. Louis To follow an author, use MyIDEAS Printed from https://ideas.repec.org/ Share: MyIDEAS: Log in (now much improved!) to save this paper Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship Contents:Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections Author Info Matteo Manera (University of Milan-Bicocca http://www.statalist.org/forums/forum/general-stata-discussion/general/1291098-interpretation-ardl-asymmetric-error-correction-model-with-interaction-terms and Fondazione Eni Enrico Mattei) Margherita Grasso (University College London) Registered author(s): Matteo Manera AbstractThe existing literature on price asymmetries does not systematically investigate the sensitivity of the empirical results to the choice of a particular econometric specification. This paper fills this gap by providing a detailed comparison of the three most popular models designed to describe asymmetric price behaviour, namely https://ideas.repec.org/p/fem/femwpa/2005.75.html asymmetric ECM, autoregressive threshold ECM and ECM with threshold cointegration. Each model is estimated on a common monthly dataset for the gasoline markets of France, Germany, Italy, Spain and UK over the period 1985-2003. All models are able to capture the temporal delay in the reaction of retail prices to changes in spot gasoline and crude oil prices, as well as some evidence of asymmetric behaviour. However, the type of market and the number of countries which are characterized by asymmetric oil-gasoline price relations vary across models. The asymmetric ECM yields some evidence of asymmetry for all countries, mainly at the distribution stage. The threshold ECM strongly rejects the null hypothesis of symmetric price behaviour, particularly in the case of France and Germany. Finally, the ECM with threshold cointegration finds long-run asymmetry for each country in the reaction of retail prices to oil price changes. Download Info If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files
Four.1 of 2. STATA Sayed Hossain SubscribeSubscribedUnsubscribe7,8037K Loading... Loading... Working... Add to Want to watch this again later? Sign in to https://www.youtube.com/watch?v=gXpF7udndkw add this video to a playlist. Sign in Share More Report Need to report the video? Sign in to report inappropriate content. Sign in Transcript Statistics 4,562 views 8 Like this video? Sign in to make your opinion count. Sign in 9 0 Don't like this video? Sign in to error correction make your opinion count. Sign in 1 Loading... Loading... Transcript The interactive transcript could not be loaded. Loading... Loading... Rating is available when the video has been rented. This feature is not available right now. Please try again later. Published on Jul 8, 2013=============================Welcome to Hossain AcademyHomepage:https://www.sayedhossain.comYouTube: https://www.youtube.com/user/sayedhos...Facebook:https://www.facebook.com/pages/Hossai...Twitter:https://twitter.com/Hossain_Academy================================= Category Education error correction model License Standard YouTube License Source videos View attributions Show more Show less Loading... Advertisement Autoplay When autoplay is enabled, a suggested video will automatically play next. Up next VECM. Model Four. Part 2 of 2. STATA - Duration: 28:13. Sayed Hossain 4,425 views 28:13 VECM. Model One. Part 2 of 3. STATA - Duration: 24:49. Sayed Hossain 6,932 views 24:49 VECM. Model Six. Part 2 of 3. EVIEWS - Duration: 29:42. Sayed Hossain 10,536 views 29:42 VAR Model. Model Three. Part 2 of 2. STATA - Duration: 27:42. Sayed Hossain 10,191 views 27:42 45 videos Play all All Models of STATASayed Hossain VECM. Model One. Part 1 of 3. STATA - Duration: 14:15. Sayed Hossain 7,341 views 14:15 Error correction model - part 1 - Duration: 10:02. Ben Lambert 33,312 views 10:02 VECM Model. Model Five. STATA - Duration: 41:11. Sayed Hossain 619 views 41:11 Forecasting in VAR. M
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