Comments on: The Quantile Autoregressive-Distributed Lag Parameter Estimation and Interpretation in GAUSS https://www.aptech.com/blog/the-quantile-autoregressive-distributed-lag-parameter-estimation-and-interpretation-in-gauss/ GAUSS Software - Fastest Platform for Data Analytics Fri, 09 Jun 2023 17:41:16 +0000 hourly 1 By: Eric https://www.aptech.com/blog/the-quantile-autoregressive-distributed-lag-parameter-estimation-and-interpretation-in-gauss/#comment-2411 Fri, 09 Jun 2023 17:41:16 +0000 https://www.aptech.com/?p=11581791#comment-2411 Hi,

Thanks for your comment. To answer your question, yes you can use more than 2 independent variables with the QARDl model.

There are a few common causes of the G0121: Matrix not positive definite and G0048: Matrix singular error messages. Our blog, Diagnosing a singular matrix offers guidance on how to locate the cause of these errors.

In addition, a good practice when obtaining these errors is to check for linear dependencies in your data. This can be quickly done using the corrx procedure.

Eric

]]> By: dronalv https://www.aptech.com/blog/the-quantile-autoregressive-distributed-lag-parameter-estimation-and-interpretation-in-gauss/#comment-2404 Fri, 02 Jun 2023 05:10:35 +0000 https://www.aptech.com/?p=11581791#comment-2404 Hi Eric, I was wondering if QARDL module let us to process more than 2 independent variables since when I include more than 2 variables, Gauss23 indicates there was a error such as a singular matrix.

]]> By: Eric https://www.aptech.com/blog/the-quantile-autoregressive-distributed-lag-parameter-estimation-and-interpretation-in-gauss/#comment-2388 Wed, 18 Jan 2023 15:39:36 +0000 https://www.aptech.com/?p=11581791#comment-2388 In reply to CK.

Hello CK,

The constant was not focused on as a parameter of interest that was reported in the original output. This code is translated directly from the author's code and maintains the scope and focus of that original paper. I will make note of this and can certainly include the constant in future versions.

Eric

]]> By: CK https://www.aptech.com/blog/the-quantile-autoregressive-distributed-lag-parameter-estimation-and-interpretation-in-gauss/#comment-2387 Wed, 18 Jan 2023 07:00:01 +0000 https://www.aptech.com/?p=11581791#comment-2387 Hello Eric,

Could you please explain why the constant term is not reported in the Gauss output along with the parameter estimates of long run and short run (as mentioned in the equation).

]]> By: seemarehman https://www.aptech.com/blog/the-quantile-autoregressive-distributed-lag-parameter-estimation-and-interpretation-in-gauss/#comment-2356 Mon, 25 Apr 2022 10:57:50 +0000 https://www.aptech.com/?p=11581791#comment-2356 Hello! How to get parameters for constant and speed of adjustment using your attached ardl code? Please reply.

]]> By: Eric https://www.aptech.com/blog/the-quantile-autoregressive-distributed-lag-parameter-estimation-and-interpretation-in-gauss/#comment-2355 Mon, 18 Apr 2022 18:55:34 +0000 https://www.aptech.com/?p=11581791#comment-2355 In reply to limanli.

Hello,

Yes, the QARDL library does support the rolling window method!

Eric

]]> By: limanli https://www.aptech.com/blog/the-quantile-autoregressive-distributed-lag-parameter-estimation-and-interpretation-in-gauss/#comment-2354 Thu, 24 Mar 2022 18:57:23 +0000 https://www.aptech.com/?p=11581791#comment-2354 Hello Eric,

Thank you for this nice demonstration.

I wonder if QARDL Library support rolling window method.

]]> By: Eric https://www.aptech.com/blog/the-quantile-autoregressive-distributed-lag-parameter-estimation-and-interpretation-in-gauss/#comment-2343 Thu, 13 Jan 2022 14:44:39 +0000 https://www.aptech.com/?p=11581791#comment-2343 In reply to zmighri.

Hello,

Thank you for your comment. I am planning on writing a blog covering the estimation and diagnostic of QARDL-ECM in the future. In the meantime, I suggest reviewing the Jin Seo Cho, Tae-Hwan Kim, and Yongcheol Shin (2015) paper, "Quantile Cointegration in the Autoregressive
Distributed-Lag Modelling Framework".

]]> By: zmighri https://www.aptech.com/blog/the-quantile-autoregressive-distributed-lag-parameter-estimation-and-interpretation-in-gauss/#comment-2341 Wed, 22 Dec 2021 20:40:47 +0000 https://www.aptech.com/?p=11581791#comment-2341 Dear Eric
What about the estimation and diagnostic of QARDL-ECM?

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