[R-SIG-Finance] time series regression (demand for higher education)
spencer.graves at pdf.com
Mon Apr 14 22:28:03 CEST 2008
1. Did you not receive a reply yesterday from Matthieu Stigler,
reading as follows:
For the analysis of multivariate time series use package vars for VAR
models and urca for VECM models, unit root and cointegration tests.
The author of these package wrote also a book "analysis of integrated
and cointegrated time series with R" which can be usefull. See
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Hope this helps.
bereket weldeslassie wrote:
> Dear All,
> I am doing a time series regression with one dependent time series variable,
> 7 independent time series variables and 32 annual observations in an attempt
> to model the demand for higher education. The dependent variable is
> Enrollment and the independent variables are like tuition, income and so on.
> The main purpose of my analysis is to investigate the impact of economic
> factors (like tuition and income) on enrollment. I am considering an error
> correction model of the form:
> to model the demand and solve the problem of cointegration, autocorrelation
> and multicollinearity. But this is not been able to solve all these
> problems. Is that a right way to estimate the elacticities?
> Any suggestion how to built a good model that solves these problems? I
> appreciate your help.
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