URGENT ARDL interpretation Issue

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Haim Rik
Posts: 1
Joined: Thu Jul 13, 2017 8:04 am

URGENT ARDL interpretation Issue

Postby Haim Rik » Thu Jul 13, 2017 9:01 am

Hi Everybody,
I'm performing an ARDL and I made "ARDL Long Run and Bound Test" with Eviews and juste after my "Conditional Error Correction Table", I got this message for some of my variables:

Variable interpreted as : Z = Z(-1) + D (Z)

So I'm not able to see the coefficient for example for Z(-1) to perform a Wald test for example and D(Z) to interpret for the short run the impact on my dependent variable.

How can I do to see these different coefficient ? Or How interpret ou understand that ? No effect on the short run?

Please I need an help

Aimeric
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EViews Mirza
Posts: 30
Joined: Sat Apr 22, 2017 8:23 pm

Re: URGENT ARDL interpretation Issue

Postby EViews Mirza » Mon Jul 17, 2017 4:20 pm

This just means that if your model has variables which are chosen to have zero lags, they have a special interpretation. In your particular case, for instance, the coefficient associated with INV** is -0.117421. The note basically says that:

-0.117421 INV** = -0.117421 INV(-1) -0.117421D(INV).

Accordingly, the coefficient estimate of INV(-1) is the same as that reported for INV**. I hope that clarifies the issue.

NipNip
Posts: 24
Joined: Thu Oct 20, 2016 4:46 pm

Re: URGENT ARDL interpretation Issue

Postby NipNip » Thu Aug 03, 2017 10:00 am

Does this mean that the coeficient of D(inv) is equal to zero?

-0.117421 INV** = -0.117421 INV(-1) + 0 D(INV).

EViews Mirza
Posts: 30
Joined: Sat Apr 22, 2017 8:23 pm

Re: URGENT ARDL interpretation Issue

Postby EViews Mirza » Thu Aug 03, 2017 10:23 am

NipNip wrote:Does this mean that the coeficient of D(inv) is equal to zero?

-0.117421 INV** = -0.117421 INV(-1) + 0 D(INV).


No! It means the coefficient on D(INV) is the same as for INV(-1). In other words, -0.117421. I made that explicit in my previous post.

NipNip
Posts: 24
Joined: Thu Oct 20, 2016 4:46 pm

Re: URGENT ARDL interpretation Issue

Postby NipNip » Thu Aug 03, 2017 10:35 am

Thanks.

NipNip
Posts: 24
Joined: Thu Oct 20, 2016 4:46 pm

Re: URGENT ARDL interpretation Issue

Postby NipNip » Thu Aug 03, 2017 10:48 am

I've tried to do the ECM regression in excel, but I think I'm calculating the variable "CointEq" in a wrong way. I think I cannot follow what the equations say in ARDL chapter from Eviews user guide.

Please, can you guys help me with equation used to calculate "CointEq" variable?
I'm using Case 5: Unrestricted Constant and Unrestricted Trend.

Regards,

Joel

maymay
Posts: 2
Joined: Tue Jul 24, 2018 8:58 pm

Re: URGENT ARDL interpretation Issue

Postby maymay » Thu Sep 13, 2018 6:55 pm

EViews Mirza wrote:This just means that if your model has variables which are chosen to have zero lags, they have a special interpretation. In your particular case, for instance, the coefficient associated with INV** is -0.117421. The note basically says that:

-0.117421 INV** = -0.117421 INV(-1) -0.117421D(INV).

Accordingly, the coefficient estimate of INV(-1) is the same as that reported for INV**. I hope that clarifies the issue.


in ecm regression, there is no estimation of D(inv). Does this means there's no short run impact for INV?


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