Panel PMG/ARDL

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mchan
Posts: 4
Joined: Tue Sep 19, 2017 3:04 am

Panel PMG/ARDL

Postby mchan » Tue Sep 19, 2017 4:52 pm

Hi all.

I am using Eviews 9 to estimate a PMG/ARDL model using unbalanced panel data, and there are a couple of clarifications I need to make. My estimation output window has both 'Long Run Equation' and 'Short Run Equation'.

My inputed dependent is LGDP and a ARDL (2,1,1,1...) model was selected:

1. How do I interpret the coefficients of the Long Run Equation – can my dependent be interpreted as LGDP or D(LGDP)? i.e. LGDP or D(GDP)= c(1)*x1+ C(2)*x2+ C(3)*x3+… + C(n)*xn? My confusion stems from the dependent variable being stated to be D(LGDP) in my output window.

2. Is it possible to generate the estimated Y based on solely the LR cointegrating relationship? The proc > forecast function only gives estimates for the whole ARDL model on a dynamic/ static forecast basis.

3. How do we conduct the bounds testing to test panel PMG/ARDL? Under coefficient diagnostics, only the Wald test is available- can I use to test for joint significance for my cointegrating coefficients and compare my F-statistic with the F-tables on Pesaran et al. (2001)?

4. Is there a function to test for heteroskedasticity of residuals? Residual diagnostics only have a histogram- normality test option

Thank you!

EViews Gareth
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Re: Panel PMG/ARDL

Postby EViews Gareth » Tue Sep 19, 2017 5:28 pm

2. Not built in
3. Bounds test is not appropriate for panels.
4. No.
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mchan
Posts: 4
Joined: Tue Sep 19, 2017 3:04 am

Re: Panel PMG/ARDL

Postby mchan » Tue Sep 19, 2017 9:53 pm

Thanks for the reply Gareth, really apprecaite it.

How about my first question, should my dependent be interpreted as LGDP or D(LGDP)?

Cheers

mchan
Posts: 4
Joined: Tue Sep 19, 2017 3:04 am

Re: Panel PMG/ARDL

Postby mchan » Wed Sep 20, 2017 10:34 pm

Does anyone knows if we can obtain an estimate for our dependent using the coefficients from only the Long-Run Equation coefficients? I tried doing this on eviews (i.e. LGDP_Forecast= c(1)*x1 + c(2)*x2 +.. c(n)*xn) but got a very inflated estimate (100 times my observed) and does not co-move at all.

Wondering if I intepreted the coefficients in my long-run equation wrongly.

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Panel PMG/ARDL

Postby EViews Gareth » Thu Sep 21, 2017 10:53 am

Without going into the econometrics, the equation is estimated in differences.
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