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ARDL Bounds Testing programming
Posted: Sat Dec 12, 2015 3:04 pm
by londonphd
Hello,
I am trying to learn how to program a model of ARDL approach to cointegration in Eviews, I want to do a rolling cointegrating analysis. There is a limited information on how to program an ARDL model and estimate long run and ECM equations. I manged to execute the following only:
Code: Select all
ardl(deplags=4, reglags=4) y x1 x2 x3 x4 I want to save the long run equation coefficients in a matrix, and conduct a bounds test then save the F-stat in a new series. Can anyone help with coding please?
Thank you
Re: ARDL Bounds Testing programming
Posted: Sat Dec 12, 2015 3:26 pm
by EViews Gareth
You'll have to name the equation you're estimating, then use equationname.bounds test to perform the bounds test.
Equationname.cointrep performs the countegration/ long run viee
Re: ARDL Bounds Testing programming
Posted: Sun Dec 13, 2015 9:21 am
by londonphd
Thanks Gareth!
Re: ARDL Bounds Testing programming
Posted: Sun Dec 13, 2015 10:53 am
by londonphd
Gareth,
Another quick question. I am reading the online manual which has more instructions than the pdf commands manual. But, I've been unable to save the f-stat from the bounds test and long run coefficient estimates. How can I save these in, let's say, a matrix?
Thanks
Re: ARDL Bounds Testing programming
Posted: Sun Dec 13, 2015 1:03 pm
by EViews Gareth
The PDFs and online help are identical.
viewtopic.php?f=5&t=18
Re: ARDL Bounds Testing programming
Posted: Sun Dec 13, 2015 1:57 pm
by londonphd
Gareth,
They are not the same, maybe I have one of many pdf manuals. I found the online help more detailed and your thread on programming helped me to get around the problems so far.
Also, can I call Eviews from within R?
Thanks a lot!
Re: ARDL Bounds Testing programming
Posted: Sun Dec 13, 2015 2:23 pm
by EViews Gareth
No
Re: ARDL Bounds Testing programming
Posted: Thu Jan 14, 2016 2:58 pm
by fmramos
Hi Gareth and EV users!
Expanding this topic, I have an issue. As a matter of fact, a doubt:
Is it possible to extract/to create/get a vector with long term / cointrep terms?
Extract results Bi's from: Cointeq = LOG(Y) - (B1*LOG(X1) + B2*LOG(X2) )?
Tks in advance.
Best,
Fabio
Re: ARDL Bounds Testing programming
Posted: Thu Jan 14, 2016 3:37 pm
by EViews Gareth
equation.@ardlcoint
Re: ARDL Bounds Testing programming
Posted: Wed Jan 20, 2016 2:28 pm
by fmramos
Tks. It worked to get all parameters from d(y)~d(x) relationship. But I'm trying to get directly 'long run coefficients', y~x relationship (inside cointreq equation) and long-run adjustment term (cointeq(-1)) parameter.
As like:
Cointeq = Y - (b1*X1 + b2*X2 -a1) from long-run form and period-to-period adjustment term parameter, g1 from 'g1*cointeq'.
Best,
Fabio
Re: ARDL Bounds Testing programming
Posted: Wed Jan 20, 2016 2:40 pm
by EViews Gareth
Ah, no.
Re: ARDL Bounds Testing programming
Posted: Wed Jan 20, 2016 2:55 pm
by fmramos
: (
No problem! Tks anyway for prompt answering. As always.
Best,
Fabio
Re: ARDL Bounds Testing programming
Posted: Mon Mar 07, 2016 10:32 pm
by srisasoft
I am trying to learn how to
program a model of ARDL approach to cointegration in Eviews, I want to do a rolling cointegrating analysis. There is a limited information on how to program an ARDL model and estimate long run and ECM equations. I manged to execute the following only:
First, it's important to note that although there was previously an EViews "add-in" for ARDL models (see here and here), this was quite limited in its capabilities. What's now available is a full-blown ARDL estimation option, together with bounds testing and an analysis of the long-run relationship between the variables being modelled.