Search found 52 matches

by EViews Mirza
Sat Aug 01, 2020 9:00 am
Forum: Econometric Discussions
Topic: ARDL/ECM Bounds test question (EVIEWS11)
Replies: 2
Views: 105

Re: ARDL/ECM Bounds test question (EVIEWS11)

The original authors of the ARDL bounds test, namely Pesaran, Shin and Smith (2001) (PSS henceforth) have the following advice in their paper: Two sets of asymptotic critical values are provided for the two polar cases which assume that all the regressors are, on the one hand, purely I(1) and, on th...
by EViews Mirza
Fri Jul 31, 2020 4:48 pm
Forum: Estimation
Topic: ARDL/ECM Question
Replies: 6
Views: 332

Re: ARDL/ECM Question

There appears to be 2 methods in finding ARDL and ECM... I'm not aware that there are multiple approaches to expressing the contemporaneous ARDL form into its EC equivalent. They are both equivalent representations of the same underlying structure. However, the ARDL model is typically estimated via...
by EViews Mirza
Fri Jul 31, 2020 3:19 pm
Forum: Estimation
Topic: ARDL/ECM Question
Replies: 6
Views: 332

Re: ARDL/ECM Question

Hi, So how do I find the residual results for the ECM/ARDL? Bth the original ARDL and the parsimonious ECM/ARDL use the same seated mod, so I'm guessing they have the same residual result??? The residuals from the contemporaneous and the ECM model are identical. All inferences on the residuals gene...
by EViews Mirza
Wed Oct 30, 2019 8:32 am
Forum: Econometric Discussions
Topic: ARDL Bounds Test T-test
Replies: 1
Views: 2992

Re: ARDL Bounds Test T-test

I suggest you start by reading our blog series on ARDL estimation. Here are the links: http://blog.eviews.com/2017/04/autoregressive-distributed-lag-ardl.html?m=1 http://blog.eviews.com/2017/05/autoregressive-distributed-lag-ardl_8.html?m=1 http://blog.eviews.com/2017/05/autoregressive-distributed-l...
by EViews Mirza
Tue Oct 08, 2019 11:48 am
Forum: Econometric Discussions
Topic: Vector Error Correction Model (VECM)
Replies: 5
Views: 4309

Re: Vector Error Correction Model (VECM)

Yes. The Johansen test is done on the VECM representation.
by EViews Mirza
Sun Oct 06, 2019 2:58 pm
Forum: Econometric Discussions
Topic: Vector Error Correction Model (VECM)
Replies: 5
Views: 4309

Re: Vector Error Correction Model (VECM)

Why do you need peer-reviewed journals to show this? You can do so yourself directly. It's pretty rudimentary. I'll give you the case for p = 1 and p = 2. You can use mathematical induction or a brute force method to demonstrate the general case. VAR(1) => Y_t = Gamma * Y_{t-1} + Beta * X + eps_t = ...
by EViews Mirza
Fri Apr 19, 2019 11:47 am
Forum: Estimation
Topic: ARDL Model Estimation Problem
Replies: 1
Views: 818

Re: ARDL Model Estimation Problem

Hi! The reason that you don't see the constant or trend terms in the long-run levels equation is due to the fact that you are estimating ARDL using the deterministic scheme 5 which does not subject the constant and the trend to the long-run restriction. In other words, the constant and trend are NOT...
by EViews Mirza
Wed Mar 20, 2019 8:10 am
Forum: Estimation
Topic: ARDL Substituted Coefficients
Replies: 4
Views: 1399

Re: ARDL Substituted Coefficients

Ah! I think I understand your point now. What you are claiming is "incorrect" is in fact the Error Correction Form (ECM) of the ARDL model. And you are right! The ECM is NOT equal to the cointegrating equation that we display in the outputs we have pasted earlier, namely. Cointegrating Equ...
by EViews Mirza
Thu Mar 14, 2019 7:54 am
Forum: Estimation
Topic: ARDL Substituted Coefficients
Replies: 4
Views: 1399

Re: ARDL Substituted Coefficients

Hi Jamel, I'm not entirely sure how you're obtaining that output, but when I run the estimation on my end, the output I receive is: ---------- Estimation Command: ========================= ARDL @FL(REALCONS,1) @FL(REALGDP,1) @ Estimation Equation: ========================= REALCONS = C(1)*REALCONS(-...
by EViews Mirza
Fri Mar 08, 2019 12:23 pm
Forum: Suggestions and Requests
Topic: EViews 11: DHF seasonal unit root test
Replies: 3
Views: 3582

Re: EViews 11: DHF seasonal unit root test

Hi! At the moment we've chosen to only support HEGY, Likelihood HEGY, Canova-Hansen, and the Variance Ratio seasonal unit root tests. Following Ghysels, Lee, and Noh (1994) we've decided against initial support for the DHF test. This is by no means a permanent decision and we may in fact decide to s...
by EViews Mirza
Wed Mar 06, 2019 9:46 am
Forum: Econometric Discussions
Topic: ARDL model - ECM regression
Replies: 3
Views: 1250

Re: ARDL model - ECM regression

What form of the ECM were you expecting? Theoretically transforming the ARDL equation to an ECM equation results in the form you are seeing in the EViews output. I suggest you take a look at our 3-part blog series on ARDL estimation to understand why this is the case. This conversion from the ARDL e...
by EViews Mirza
Sun Mar 03, 2019 7:26 am
Forum: Econometric Discussions
Topic: ARDL model - ECM regression
Replies: 3
Views: 1250

Re: ARDL model - ECM regression

Can you please provide a copy of your workfile and/or some screenshots for context?
by EViews Mirza
Wed Feb 06, 2019 11:14 am
Forum: Econometric Discussions
Topic: Unit root test for autocorrelation
Replies: 3
Views: 1102

Re: Unit root test for autocorrelation

To determine if residuals are serially correlated, you must use tests designed to test for this specifically. The most famous of these tests is the Durbin-Watson, but you should probably use the LM tests proposed by White, Breusch-Pagan-Godfrey, Harvey, and so on. Note that if you are testing for un...
by EViews Mirza
Fri Dec 28, 2018 11:05 am
Forum: Econometric Discussions
Topic: HI ! Anyone suggest me
Replies: 2
Views: 1006

Re: HI ! Anyone suggest me

Because the variables which are missing from the ECM regression were most likely estimated as having 0 lag. In this case, they would be captured by the CointEq(-1) term entirely and would not have transitory effects (differences) as the other variables do.
by EViews Mirza
Wed Dec 05, 2018 4:44 pm
Forum: Programming
Topic: Adjusting short run equation in VECM
Replies: 1
Views: 824

Re: Adjusting short run equation in VECM

The differencing that happens is a byproduct of the theoretical construction. In other words, even if you create a variable series z = x-x(-4) and use said series to specify your VECM, you will find that your transitory portion of the VECM will be specified in terms of lagged differences D(z) = z-z(...

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