 |
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: estimating an asymmetrical relationship
Hi Gisella:
If you ever find out what is the matter with my suggestion from your
colleague, shoot me an e-mail at [email protected].
I'm curious why it might be incorrect.
Dave Jacobs
.
At 03:31 AM 12/16/2009, you wrote:
Thank you very much Nick and David for your thoughtful and helpful replies.
On Nick's point about whether I need a model that treats
my variables as linked time series or whether I am lumping together data
without regard to time, I am not sure whether I understand this
correctly and maybe I am exposing my ignorance here, but I am
estimating a normal (?) time series model, so the observations have
dates but I am not doing any explicit linking... One can look at
this relationship in terms of economic theory and there are
explanations, but what I need to do here is empirically test whether
there is an asymmetry for a particular country over a particular
time period. I haven't found literature that econometrically tests
for this type of asymmetrical relationship in other contexts, which
is why I am struggling about the correct way of doing it.
On David's suggestion of dummies for the different periods
(increasing and decreasing of thee explanatory variable), actually
this was something I considered but was told my an econometrician
colleague that this was wrong (not sure why) and that only a
nonlinear estimation would be appropriate. I would be interested in
hearing the views of other list members on this?
Or alternatively, a suitable way of specifying and testing the
relationship in STATA, whether using OLS or nonlinear specification?
Thank you!!!!
Gisella
--- On Tue, 12/15/09, David Jacobs <[email protected]> wrote:
> From: David Jacobs <[email protected]>
> Subject: Re: st: estimating an asymmetrical relationship
> To: [email protected]
> Date: Tuesday, December 15, 2009, 6:18 PM
> Gisella, how about this technique
> (and let's see what others on the list say about it, as it's
> been a while since I thought about this issue)?
>
> Construct a dummy coded 1 if there's growth in the
> explanatory variable of interest and construct another if
> there's negative change. Multiply each dummy with the
> explanatory variable of interest thereby creating two
> interacted explanatory variables. Enter both product
> terms in a model. If there's a statistically
> significant difference between the coefficients on the two
> interacted terms, that should provide evidence that you
> indeed have asymmetric effects.
>
>
> At 11:55 AM 12/15/2009, you wrote:
> > This question is partly econometric and partly STATA,
> and I would greatly appreciate any advice. I need to
> estimate a relationship which I believe to be asymmetric -
> between growth as the explanatory variable of interest and
> unemployment as the dependent variable. Asymmetric in the
> sense that, while overall I expect a negative relationship,
> I expect the magnitude of the relationship to be higher when
> growth is going down than when it is going up (for reasons
> not necessary to go into here). That is, I expect the
> coefficient on the relationship to be higher during periods
> of high or increasing growth than during periods of low or
> decreasing growth (I realise that high and increasing is not
> the same thing but I will later figure out which). So I
> believe that OLS is not appropriate as it will not pick up
> these differences, and what I am really interested in
> investigating is whether there is asymmetry and how strong
> it is. Ideally I would like to get
> > different coefficients for the 2 types of
> periods (note that this is not one long period and then
> another long period, but ups and downs). I believe that I
> need a nonlinear estimation method to do this. But beyond
> that I am not sure how to proceed and would be terribly
> grateful for any suggestions.
> >
> > Thank you very much.
> >
> > Gisella
> >
> >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/