Difference and Second

difference commands

Postby lnp3 » Mon Jul 29, 2013 2:29 pm
dear forum,

I am trying to estimate panel regression with first and second

difference operators.

variable X1: rendered stationary at first difference level (let's say

dependent variable)
variable X2: rendered stationary at second difference level (let's say
independent variable)

here is my command in regression combo box. Is "second difference"

command correct?

D(X1) C D((X2))

I really appreciate your help.

best regards,
lnp3

Re: Difference and Second

difference commands

Postby EViews Gareth » Mon Jul 29, 2013 3:33 pm
Before answering, what's your mathematical definition of a
second difference?
 Re: Difference and Second
difference commands

Postby lnp3 » Mon Jul 29, 2013 3:54 pm
ΔXt= Xt-Xt-1 (first difference operator)

Δ(Δ Xt)= ΔXt- ΔXt-1 (second different operator)

I don't know how to write the command for second difference

operator

first difference must be D(x). is it D ((x))?

thanks.

Re: Difference and Second

difference commands

Postby EViews Gareth » Mon Jul 29, 2013 4:00 pm
D(X,2)

Re: Difference and Second

difference commands

Postby lnp3 » Mon Jul 29, 2013 4:35 pm
thanks Eviews Gareth
 Equation of 2nd Difference in Eview
Joined: Tue Dec 27, 2011 6:34 am

Equation of 2nd Difference in

Eview

Postby alim » Sat Dec 31, 2011 7:01 am
Dear Researcher

Could you please tell me the page number in Eview Guide where I
can get the equation of 2nd Difference? I am following eview,first
click Quick then show, then putting this equation d(x,2) but finding
result is not 2nd difference. So, I am looking help from good Guy.

Thank all of you, 'Happy New Year'

Best wish

Ali

Re: Equation of 2nd

Difference in Eview

Postby startz » Sat Dec 31, 2011 8:15 am
d(x,2) does give you the second difference.
d(x) = x-x(-1)
d(x,2) = (x-x(-1)) - (x(-1)-x(-2))

Perhaps you want

x-x(-2)
?

Tehseen Jawaid
 https://www.researchgate.net/post/If_all_variables_are_stationary_at_lev
el_then_should_we_go_for_cointegration_in_time_series_analysis

 University of Karachi

If all variables are stationary at level then should we go for cointegration

in time series analysis?
Econometric based answer required with reference.

Cointegration

Econometrics

References

Variables

Share 

Popular Answers (1)

10th Oct, 2014

Youssef Saidi

Gulf Monetary Council

Hi,

As is known in the literature, the cointegration is investigated for a set of

integrated series (at least one unit root) which are in comovement (Granger).
However, if all of series are stationary (they have no trend and therefore type I
(0)) the cointegration does not exist by definition in this case. The estimation
of an VECM for example is reduced to the estimation of a VAR so in my
opinion we don't have to go for the cointegration analysis but the causalité
analysis can be conducted in the two cases.

Best regards.

3 Recommendations
All Answers (26)

10th Oct, 2014

M.Thomas Paul

The Papua New Guinea University of Technology

No  You can do a simple regression analysis , or Vector Auto Regression .

1 Recommendation

10th Oct, 2014

Youssef Saidi

Gulf Monetary Council

Hi,

As is known in the literature, the cointegration is investigated for a set of

integrated series (at least one unit root) which are in comovement (Granger).
However, if all of series are stationary (they have no trend and therefore type I
(0)) the cointegration does not exist by definition in this case. The estimation
of an VECM for example is reduced to the estimation of a VAR so in my
opinion we don't have to go for the cointegration analysis but the causalité
analysis can be conducted in the two cases.

Best regards.

3 Recommendations

10th Oct, 2014

Bashiru Haruna
Justus-Liebig-Universität Gießen

No. If all the variables are stationary, you just go ahead with the normal simple
regression techniques

10th Oct, 2014

Eric Amoo

Catholic University of the Sacred Heart

No need for VEC just run VAR

10th Oct, 2014

Robert Alan Yaffee

New York University

A VAR will not identify simultaneous contemporaneous effects.   You should

examine the model for seemingly unrelated time series effects as well.   You
need to examine it for structural breaks and seasonality before you are
finished with your modeling.

1 Recommendation

10th Oct, 2014

M.Thomas Paul

The Papua New Guinea University of Technology

Run simple regression  analysis , and then the Durbin - Watson auto
correlation test is not applicable and no need to worry about auto correlation in
regression results  , as the variables are stationary.. If you want to test
causality, use VAR  at level form and apply Granger causality test . Here
Vector Error Correction Model for Granger causality is not done as
cointegration can not be done  .

2 Recommendations

10th Oct, 2014

Mahendra Pal

Department of Commerce, Delhi School of Economics

No,my previous researchers are very much. correct. Moreover for this
question, one should more practice with econometric software. Learning by
doing.

1 Recommendation

10th Oct, 2014

Abid Al Abdali

Umm Al-Qura University

If all variables are stationary at level, this means there's no long run
relationship, a short run relationship may exist and no need for cointegration
estimation. But as said above you may need to investigate for causality
between them.

1 Recommendation

10th Oct, 2014

Tehseen Jawaid

University of Karachi
Thank you all for giving me your valuable suggestions. It is also helping me to
find appropriate text

1 Recommendation

10th Oct, 2014

Priyanka Bharali

Dibrugarh University

You cannot go for cointegration. But  you check ARDL Bound test for
cointegration i guess if ypur data are stationary at level

1 Recommendation

10th Oct, 2014

Hisham Mohamed Hassan

University of Khartoum

you mean actual or transformation data, if actual data you can not go to

cointegration

1 Recommendation

10th Oct, 2014

Heng Jiang

La Trobe University

if all variables are stationary at level, then that means no co-integration

between these times series. you could do further analyses using ARIMA and
VAR models.
2 Recommendations

10th Oct, 2014

Priyanka Bharali

Dibrugarh University

if all the variables are stationary at level n u want to run cointegration then you
cal use ARDL

2 Recommendations

11th Nov, 2014

Muhammad irfan Malik

Punjab Economics Research Institute, Lahore, Pakistan

If the variables are stationary at levels, in this situation regression results are
valid in this situation. When variables are unit root at level in this situation
regression results are spurious. When the results are valid then no need for
co-integration. The idea of co-integration is for integrated series.

1 Recommendation

11th Nov, 2014

Tehseen Jawaid

University of Karachi

Thank you all to give valuable answers.

1 Recommendation
2nd Feb, 2015

Valéri Natanelov

Queensland University of Technology

nope

2nd Feb, 2015

Mahendra Pal

Department of Commerce, Delhi School of Economics

Yes, Dr. Irfan Malik is right  to my mind The idea of co-integration is for
integrated series at first difference level.

5th May, 2016

Osarumwense Osabuohien-Irabor

Ambrose Alli University

No, atleast one of the series should contain unit root. If all series are
stationary, then no-conintegration, you simply apply VAR

10th Oct, 2017

Suwisa Muchengetwa

University of South Africa

What happens if 3 variables are not stationary at level and one of the
independent variable is stationary, can I still do the VECM

1st Jan, 2018

Patrick Irungu

University of Nairobi

When you have a mixture of I(1) and I(0) variables in your VAR, it's advisable
to use the bounds testing procedure of Perasan, Shin & Smith (PSS) (2001).

1st Jan, 2018

Arun Kumar Misra

Indian Institute of Technology Kharagpur

You can use ARDL also.

7th Jul, 2019

Precious Ohalete

Federal University Ndufu Alike Ikwo

An Autoregressive Distribution Lag model is the best for this analysis..

7th Jul, 2019

M.Thomas Paul
The Papua New Guinea University of Technology

Yes it is the right answer that if variables are all stationary, either OLS , or
VAR can be directly applied .Granger causality test can be directly done at
level form.data with out any transformation. Cointegration and Error
Correction models have not to be applied and not relevant here with
Stationary level form data .

7th Jul, 2019

Ronald Ravinesh Kumar

University of the South Pacific

I found this useful:

Article Statistical Inference in Vector Auto Regressions with Possib...

Best

9th Sep, 2019

Wenming Shi

University of Tasmania

you can run regression model directly; no need to do cointegration

1 Recommendation

10th Oct, 2019

Jawad Shahzad
Montpellier Business School
When no trend, no long-run exits, nothing to explore.