ARDL model and coefficients interpretation

[Noorma]

Dear all,

I have a question regarding the interpretation of the coefficients in an ARDL model.

I estimated the following ARDL model

Δyt = β0 + Σ βiΔyt-i + ΣγjΔx1t-j + et

Code: Select all

d(y) c d(y(-1)) d(y(-2)) d(x1) d(x1(-1)) d(x1(-2))

I would like to interpret the impact of x1 on y. As several lags of the variable x1 is included in the econometric specification, I do not know how to interpret the impact of x1 on y. Should I consider the sum of the coefficients of the different lagges values of x1 or should I interpret each of them separately? What if the coefficients are not all statistically significant?

I kindly thank you for your help.

Kind regards

[enkengurutse]

Hello,

When i do the cointegration and long run form with ardl model , i get the result without the cointEQ(-1), it's normal? Thanks

ARDL Cointegrating And Long Run Form
Original dep. variable: LNRM2
Selected Model: ARDL(1, 3, 0, 2, 0)
Date: 09/30/16 Time: 08:14
Sample: 2005Q1 2015Q4
Included observations: 41

Cointegrating Form

Variable Coefficient Std. Error t-Statistic Prob.

D(LNPIBR) 0.516124 0.081020 6.370325 0.0000
D(LNPIBR(-1)) 0.002405 0.063185 0.038057 0.9699
D(LNPIBR(-2)) -0.162342 0.063432 -2.559309 0.0164
D(LNTC) -0.214708 0.168199 -1.276513 0.2126
D(INF) -0.002050 0.000855 -2.398483 0.0236
D(INF) -0.000319 0.001784 -0.179001 0.8593
D(TBT) -0.015285 0.010995 -1.390157 0.1758
D(@QUARTER = 2) -0.059177 0.010515 -5.627903 0.0000
D(@QUARTER = 3) -0.019287 0.011535 -1.672107 0.1061
D(@QUARTER = 4) -0.137651 0.021556 -6.385859 0.0000

Cointeq = LNRM2 - (-0.6760*LNPIBR -0.3232*LNTC -0.0109*INF -0.0146
*TBT + 0.0292*(@QUARTER=2) -0.2542*(@QUARTER=3) -0.0163
*(@QUARTER=4) + 18.2644 )


Long Run Coefficients

Variable Coefficient Std. Error t-Statistic Prob.

LNPIBR -0.676003 0.369061 -1.831684 0.0781
LNTC -0.323160 0.463834 -0.696715 0.4919
INF -0.010854 0.004219 -2.572683 0.0159
TBT -0.014560 0.012483 -1.166374 0.2537
@QUARTER=2 0.029200 0.124744 0.234075 0.8167
@QUARTER=3 -0.254223 0.155727 -1.632493 0.1142
@QUARTER=4 -0.016268 0.103249 -0.157560 0.8760
C 18.264413 6.932340 2.634668 0.0138