Delta method

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

Delta method

Postby NipNip » Fri Feb 16, 2018 3:12 pm

After estimating an ARDL model in eviews, you can ask for the long run coefficients by clicking view > coefficients diagnostic > long run form and bound test. My question is: how standard errors of the long run coefficients are calculated?
I know they are related to "Delta method" and I tried to search more about it and how standard errors of the long run coefficients are calculated in eviews user guide, but I couldn't.

I would appreciate any guide in how to calculate standard errors of the long coefficients.

Thanks & regards.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11835
Joined: Tue Sep 16, 2008 5:38 pm

Re: Delta method

Postby EViews Gareth » Fri Feb 16, 2018 5:07 pm

The long run coefficients are a transformation of the short run, and so their standard errors can be computed using the Delta method.
https://en.m.wikipedia.org/wiki/Delta_m ... lta_method
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NipNip
Posts: 24
Joined: Thu Oct 20, 2016 4:46 pm

Re: Delta method

Postby NipNip » Sat Feb 17, 2018 7:59 pm

What's the meaning of "Fe ddaethom, fe welon, fe amcangyfrifon"?

I do not trust Google translate at 100%


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