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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...
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...
- Fri Dec 02, 2011 10:28 am
- Forum: Econometric Discussions
- Topic: Lag Length in Johansen Cointegration Test
- Replies: 0
- Views: 666
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...