ARDL Substituted Coefficients
Posted: 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
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