Search found 5 matches

by Sal
Thu May 21, 2020 12:07 pm
Forum: Estimation
Topic: Nonlinear ARDL model
Replies: 0
Views: 195

Nonlinear ARDL model

Hello, I am experiencing a problem estimating the nonlinear ARDL model from the "Add-ins". I estimate a linear ARDL model an then try to estimate the nonlinear ARDL model. It gives an error message "No threshold variable is listed". It was working before without any problems. I a...
by Sal
Fri Feb 26, 2016 7:01 am
Forum: Estimation
Topic: ARDL Model
Replies: 3
Views: 1307

Re: ARDL Model

Technical question. What is the maximum number of lags to use in the ARDL model for daily data (oil and stock returns)? Any ideas.

Thanks,

Sal
by Sal
Thu Feb 25, 2016 8:12 am
Forum: Estimation
Topic: ARDL Model
Replies: 3
Views: 1307

Re: ARDL Model

Thank you for the quick response. Do you know if this option will be available in the coming updates?

Thanks,

Sal
by Sal
Thu Feb 25, 2016 7:05 am
Forum: Estimation
Topic: ARDL Model
Replies: 3
Views: 1307

ARDL Model

In estimating the ARDL model, we select the trend specification. In the current version (9), there are four options to choose from: 1) None 2) Rest. constant 3) Unrest. constant 4) Rest. linear trend My question is about option 4) Rest. linear trend . When selecting this option, it gives the estimat...
by Sal
Fri Dec 02, 2011 10:28 am
Forum: Econometric Discussions
Topic: Lag Length in Johansen Cointegration Test
Replies: 0
Views: 666

Lag Length in Johansen Cointegration Test

Suppose that I tested for cointegration between two series that have structural breaks without considering the breaks and determined the number of lags to be, for example 5. When considering the breaks (as exogenous variables), do I have to go back and determine the number of lags? In other words, w...

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