| 望晴天 | 2010-04-28 10:13 |
[HELP] 有無好友讀過Time Series Econometrics ?做緊個Time Series既project....我想知如果揀左兩個variable做完unit root test知道兩個都係I(1) : non-stationary 之後做個Engle-Granger cointegration test (run unit root test on residuals)又發現佢地唔cointegrated既話 仲可唔可以做其他model ? e.g. VAR, Granger causality test.... ? 另外其實我唔係好明Engle-Granger cointegration同Granger causality test既分別..... 前者係睇下兩個variables係long run度有無meaningful relationship...後者係check有無one-way / two-way causality ?? 真係做到一頭煙....希望有高人指點.....  |
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