Calculating Dynamic Multipliers in a Combined ARDL and VECM Model with EViews 13
Posted: Sun Mar 10, 2024 1:52 am
Hello everyone,
I am currently engaged in an analysis that combines two modeling approaches: an ARDL model and a VECM model, integrated into a single framework within EViews 13. My goal is to calculate dynamic multipliers to assess the impact of a shock in one specific variable (ger_3m_yield, an exogenous variable in the ARDL model) on the output of another variable (housing_credit, output of the VECM model), over a 24-month period (such as those calculated for an ARDL with code of the type mortgage_rate_ardl.dynmult(dmevolution,noci) 24)
Below is a brief overview of the commands used to set up the models and their integration:
pageselect mens
smpl 2010 2023
' ARDL
equation mortgage_rate_ardl.ardl(deplags=12, reglags=12, ic=aic, coef=ardl) mortgage_rate ger_3m_yield log(qe) mp_surprises france_inflation
' VECM
var housing_market_var.ec(rank=2, 2) 1 6 log(housing_credit) log(housing_transactions) log(housing_prices) @exogdual mortgage_rate log(hh_financial_wealth)
' Combining ARDL and VECM models
model pm_housing_market
pm_housing_market.merge mortgage_rate_ardl
pm_housing_market.merge housing_market_var
' Dynamic multipliers
?
I am encountering difficulties with programming the calculation of dynamic multipliers for the combined model. Please, could anyone guide me on the best way to proceed with EViews 13? Specific suggestions or code examples would be greatly appreciated.
Thank you in advance for your help and advice.
Best regards,
Bob
I am currently engaged in an analysis that combines two modeling approaches: an ARDL model and a VECM model, integrated into a single framework within EViews 13. My goal is to calculate dynamic multipliers to assess the impact of a shock in one specific variable (ger_3m_yield, an exogenous variable in the ARDL model) on the output of another variable (housing_credit, output of the VECM model), over a 24-month period (such as those calculated for an ARDL with code of the type mortgage_rate_ardl.dynmult(dmevolution,noci) 24)
Below is a brief overview of the commands used to set up the models and their integration:
pageselect mens
smpl 2010 2023
' ARDL
equation mortgage_rate_ardl.ardl(deplags=12, reglags=12, ic=aic, coef=ardl) mortgage_rate ger_3m_yield log(qe) mp_surprises france_inflation
' VECM
var housing_market_var.ec(rank=2, 2) 1 6 log(housing_credit) log(housing_transactions) log(housing_prices) @exogdual mortgage_rate log(hh_financial_wealth)
' Combining ARDL and VECM models
model pm_housing_market
pm_housing_market.merge mortgage_rate_ardl
pm_housing_market.merge housing_market_var
' Dynamic multipliers
?
I am encountering difficulties with programming the calculation of dynamic multipliers for the combined model. Please, could anyone guide me on the best way to proceed with EViews 13? Specific suggestions or code examples would be greatly appreciated.
Thank you in advance for your help and advice.
Best regards,
Bob