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unit root
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unit root
by corramier » Fri May 03, 2013 10:01 pm
Hi, I have a little problem here, my two data of my four time series data used in estimation contain unit root. Should I use mode_compute=6 and do not need do anything more when estimate the model ? P.S., The model is stationary and the data is supposed to be stationary but it really contain unit root.
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Re: unit root
by jpfeifer » Sat May 04, 2013 10:07 am
You have to make the model and the data consistent. Usually, you will need an observation equation and an appropriate detrending (e.g. demeaned first differences or one-sided HP-filter)
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