ARDL Substituted Coefficients

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Jamel Saadaoui
Posts: 3
Joined: Thu Sep 12, 2013 10:35 am

ARDL Substituted Coefficients

Postby Jamel Saadaoui » Thu Mar 14, 2019 2:09 am

Dear Sir or Madam,

I have a question related to the substituted coefficient in an ARDL estimation.

I use the following file (http://www.stern.nyu.edu/~wgreene/Text/ ... leF5-2.txt) to estimate the most simple ARDL(1,1) model.

EViews displays the following specification :

***********************************************************************************************************************************************************************************

Substituted Coefficients:
=========================
REALCONS = 0.940663367262*REALCONS(-1) + 0.35122309101*REALGDP - 0.306997295848*REALGDP(-1) - 11.0441854096

Cointegrating Equation:
D(REALCONS) = -0.059336632737*REALCONS(-1) + 0.044225795161*(REALCONS - (0.74533712*REALGDP(-1) -186.12760617 ) + 0.351223091007*D(REALGDP) )

***********************************************************************************************************************************************************************************

But, according to the ARDL representation, the Cointegration Equation should be represented like this :

***********************************************************************************************************************************************************************************

Cointegrating Equation:
D(REALCONS) = -0.059336632737*( 0.74533712*REALGDP(-1) -186.12760617 ) + 0.351223091007*D(REALGDP)

***********************************************************************************************************************************************************************************

Maybe I missed something. I would be very interested by your answer.

Kind regards,

Jamel Saadaoui

EViews Mirza
Posts: 44
Joined: Sat Apr 22, 2017 8:23 pm

Re: ARDL Substituted Coefficients

Postby EViews Mirza » Thu Mar 14, 2019 7:54 am

Hi Jamel,

I'm not entirely sure how you're obtaining that output, but when I run the estimation on my end, the output I receive is:

----------
Estimation Command:
=========================
ARDL @FL(REALCONS,1) @FL(REALGDP,1) @

Estimation Equation:
=========================
REALCONS = C(1)*REALCONS(-1) + C(2)*REALGDP + C(3)*REALGDP(-1) + C(4)

Substituted Coefficients:
=========================
REALCONS = 0.940663367262*REALCONS(-1) + 0.35122309101*REALGDP - 0.306997295848*REALGDP(-1) - 11.0441854096

Cointegrating Equation:
D(REALCONS) = -11.044185409502 -0.059336632737*REALCONS(-1) + 0.044225795161*(REALCONS - (0.74533712*REALGDP(-1) -186.12760617 ) + 0.351223091007*D(REALGDP) )
----------

Clearly, our cointegrating equations are not the same. What version of EViews are you running?


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