ARDL model - ECM regression

For econometric discussions not necessarily related to EViews.

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Antonella
Posts: 3
Joined: Mon Feb 18, 2019 12:46 am

ARDL model - ECM regression

Postby Antonella » Sat Mar 02, 2019 11:01 am

Hi all, I have an ARDL model with all variables lagged by one. Then, when I go to the Error correction form, it will only show the variables but not their lag. Do you know why the lagged variables (in this case lag 1) are missing from the ECM Regression in Eviews 10, please? Thank you

EViews Mirza
Posts: 46
Joined: Sat Apr 22, 2017 8:23 pm

Re: ARDL model - ECM regression

Postby EViews Mirza » Sun Mar 03, 2019 7:26 am

Can you please provide a copy of your workfile and/or some screenshots for context?

Antonella
Posts: 3
Joined: Mon Feb 18, 2019 12:46 am

Re: ARDL model - ECM regression

Postby Antonella » Wed Mar 06, 2019 3:59 am

Hi, thank you for your reply. Screenshot 1 is showing the variables in the estimation output (Method: ARDL) and screenshot 2 is showing the ECM regression. My question is why in the ECM regression the lagged variables are dropped, please? Thanks and I really appreciate your help.
Attachments
1.png
1.png (162.96 KiB) Viewed 274 times
2.png
2.png (125.65 KiB) Viewed 275 times

EViews Mirza
Posts: 46
Joined: Sat Apr 22, 2017 8:23 pm

Re: ARDL model - ECM regression

Postby EViews Mirza » Wed Mar 06, 2019 9:46 am

What form of the ECM were you expecting? Theoretically transforming the ARDL equation to an ECM equation results in the form you are seeing in the EViews output. I suggest you take a look at our 3-part blog series on ARDL estimation to understand why this is the case. This conversion from the ARDL equation to the ECM form was explicitly derived in Part 1. The links are below.

Part 1: http://blog.eviews.com/2017/04/autoregressive-distributed-lag-ardl.html
Part 2: http://blog.eviews.com/2017/05/autoregressive-distributed-lag-ardl_8.html
Part 3: http://blog.eviews.com/2017/05/autoregressive-distributed-lag-ardl.html


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