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From | Syed Basher <syed.basher@yahoo.com> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | Re: st: Model Selection and Choices |
Date | Tue, 26 Apr 2011 23:18:39 -0700 (PDT) |
Hi, Here is a straight answer. I would first check for the unit root in the data. Depending on the results, select between stationary and nonstationary modeling. The case of non-lineariy should be dictated by economic theory. If, for example, unit root is present and the theory behind your economic model is non-linearity, you can then use nonlinear cointegration. The same logic applies for stationary variables. Hope this answers your question. -- Syed Abul Basher Qatar Central Bank P.O. Box 1234 Doha, Qatar. http://www.syedbasher.org/ From: Muhammad Anees <aneesmkhattak@gmail.com> >To: statalist@hsphsun2.harvard.edu >Sent: Wednesday, April 27, 2011 8:47 AM >Subject: Re: st: Model Selection and Choices > >Hi All! > >I have a straight question on time series modelling. I have a 37 years >annualized time series data on five variables. I want to check if >linear or non linear modelling would be best in my case. Is there any >way using stata to obtain results and to select model that best >reflects my specific time series data. > >-- >Muhammad Anees >MSc in Economics >The University of Sheffield >United Kingdom >* >* 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/