How check fot the of a unit root exist in a model?

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How check fot the of a unit root exist in a model?

Postby Ful » Mon Jul 05, 2010 8:16 pm

Dear all,
I would like to know how can I proceed to verify if my model is free of unit root issue.
i.e. is there any specific command that I can use to check the consistency of my model in this regard.
Thanks,
Ful
Ful
 
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Re: How check fot the of a unit root exist in a model?

Postby jpfeifer » Tue Jul 06, 2010 7:10 am

Hi,
I am not aware of a specific command. But if you put check; behind the steady; command, this gives you the eigenvalues of the model at its current parametrization. Usually, an eigenvalue of exactly 1 indicates that you have a unit root in the model.
But note that this way of checking is clearly suboptimal. You as the modeler should be aware of any unit roots in the model, because you specify the model to be either stationary or not, e.g. by specifying a depreciation rate of 0 or using a unit root technology process.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Re: How check fot the of a unit root exist in a model?

Postby Ful » Sat Jul 10, 2010 5:53 pm

Thanks
Ful
Ful
 
Posts: 5
Joined: Mon Jul 05, 2010 3:59 pm


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