ardl

For making suggestions and/or requests for new features you'd like added to EViews.

Moderators: EViews Gareth, EViews Moderator

tvonbrasch
Posts: 300
Joined: Fri Apr 15, 2011 5:35 am

ardl

Postby tvonbrasch » Tue Apr 14, 2015 2:02 am

Hi

Just installed eviews9. Really like the ardl function.

it would be nice if one could impose restrictions on the long run solution and the let Eviews search across models (for a given long run specification with restrictions imposed).

Can you add this functionality to Eviews 9?
T

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11503
Joined: Tue Sep 16, 2008 5:38 pm

Re: ardl

Postby EViews Gareth » Tue Apr 14, 2015 5:40 am

Nice idea, but too late for ev9.
EV10 perhaps
Follow us on Twitter @IHSEViews

tvonbrasch
Posts: 300
Joined: Fri Apr 15, 2011 5:35 am

Re: ardl

Postby tvonbrasch » Thu Dec 07, 2017 10:06 am

Hi

What can you say about when this functionality will be added?
Thomas

smecointelligency
Posts: 2
Joined: Tue Dec 26, 2017 4:45 am

Re: ardl

Postby smecointelligency » Tue Dec 26, 2017 11:15 am

Good Morning, Hello,
Please, I estimated an ARDL model by
Eviews9 and another time by Eviews10, and after, in the
bounds test (ARDL Bounds Test) I find a difference in the
results and in the display too:


In Eviews9: F-statistic =
6.299721 / k = 5
In Eviews10: F-statistic =
16.37981 / k = 5

what does
it mean?

Cordially

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

In Eviews9: F-statistic =
6.299721 / k = 5

ARDL
Bounds Test
Date: 12/26/17 Time: 14:15
Sample: 1989 2013
Included
observations: 25
Null Hypothesis: No
long-run relationships exist

Test Statistic Value k

F-statistic 6.299721 5


Critical
Value Bounds

Significance
I0 Bound I1 Bound

10% 2.26 3.35
5%
2.62 3.79
2.5% 2.96
4.18
1% 3.41 4.68


Test
Equation:
Dependent Variable: D(CEDI)
Method: Least Squares
Date:
12/26/17 Time: 14:15
Sample: 1989 2013
Included observations: 25

Variable Coefficient Std.
Error t-Statistic Prob.

D(IRD) -10.52031 12.48692
-0.842506 0.4127
D(MMDI) 0.059484
0.040760 1.459352 0.1651
D(MMDI(-1)) -0.101842 0.050627
-2.011622 0.0626
C
3068.236 1686.466 1.819329
0.0889
DIDI(-1) 0.038992
0.110981 0.351340 0.7302
IN(-1) -4.033732 10.04597
-0.401528 0.6937
IRD(-1)
-30.32519 20.32496 -1.492017
0.1564
MMDI(-1) 0.157618
0.040771 3.865971 0.0015
UE(-1) 29.26800 16.73319
1.749098 0.1007
CEDI(-1)
-0.594558 0.288519 -2.060723
0.0571

R-squared
0.787975 Mean dependent var
256.5458
Adjusted R-squared
0.660761 S.D. dependent var
328.5518
S.E. of regression
191.3625 Akaike info criterion
13.63539
Sum squared resid
549294.3 Schwarz criterion
14.12294
Log likelihood -160.4424
Hannan-Quinn criter.
13.77062
F-statistic 6.194057
Durbin-Watson stat 2.093658
Prob(F-statistic) 0.001054


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

In Eviews10: F-statistic =
16.37981 / k = 5

ARDL Long
Run Form and Bounds Test
Dependent Variable:
D(CEDI)
Selected Model: ARDL(1, 0, 0, 1, 2,
0)
Case 2: Restricted Constant and No
Trend
Date: 12/26/17 Time: 14:16
Sample: 1987 2013
Included
observations: 25

Conditional Error Correction Regression

Variable
Coefficient Std. Error t-Statistic
Prob.

C 5538.655
824.9302 6.714089 0.0000
CEDI(-1)* -1.017627
0.156009 -6.522872 0.0000
DIDI** 0.268324 0.067106
3.998530 0.0012
IN**
-11.25555 5.365446 -2.097785
0.0533
IRD(-1) -27.29649 13.55232
-2.014156 0.0623
MMDI(-1) 0.103375
0.036360 2.843070 0.0123
UE** 8.653475 13.98972
0.618560 0.5455
D(IRD)
-11.67631 8.963649 -1.302629
0.2123
D(MMDI) -0.022249 0.037384
-0.595151 0.5606
D(MMDI(-1)) -0.076970 0.035610
-2.161491 0.0472

* p-value incompatible with t-Bounds
distribution.
** Variable interpreted as Z =
Z(-1) + D(Z).


Levels Equation
Case 2:
Restricted Constant and No Trend

Variable Coefficient Std.
Error t-Statistic Prob.

DIDI 0.263676 0.046233
5.703220 0.0000
IN
-11.06059 5.793404 -1.909169
0.0756
IRD -26.82367
13.29405 -2.017720 0.0619
MMDI 0.101584 0.034788
2.920112 0.0106
UE
8.503584 13.56173 0.627028
0.5401
C 5442.717
386.9041 14.06736 0.0000

EC = CEDI - (0.2637*DIDI
-11.0606*IN -26.8237*IRD + 0.1016*MMDI +
8.5036*UE + 5442.7169 )


F-Bounds
Test Null Hypothesis: No levels
relationship

Test
Statistic Value Signif. I(0) I(1)


Asymptotic: n=1000
F-statistic
16.37981 10% 2.08 3
k
5 5% 2.39 3.38
2.5% 2.7
3.73
1%
3.06 4.15

Actual
Sample Size 25 Finite Sample:
n=30
10%
2.407 3.517
5%
2.91 4.193

1% 4.134 5.761

---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11503
Joined: Tue Sep 16, 2008 5:38 pm

Re: ardl

Postby EViews Gareth » Tue Dec 26, 2017 11:43 am

Was your EViews 9 up to date? Changes were made to the calculations.
Follow us on Twitter @IHSEViews

smecointelligency
Posts: 2
Joined: Tue Dec 26, 2017 4:45 am

Re: ardl

Postby smecointelligency » Tue Dec 26, 2017 12:09 pm

I have eviews 9 and eviews 10,
I confirmed in eviews 9 the bounds test with the WALD test and I found the same result (F-statistic = 6.299721), but on Eviews 10 I found (F-statistic = 16.37981), please, Where is the problem?

sam SAM
Posts: 21
Joined: Tue Dec 26, 2017 4:31 am

"THE DIFFERENCE BETWEEN EVIEWS 9 AND EVIEWS 10 IN THE BOUNDS TEST"

Postby sam SAM » Wed Jan 10, 2018 3:28 pm

Good Evening,
I have eviews 9 and eviews 10, I confirmed in Eviews 9 the test of the limits with the test WALD and I found the same result (F-statistic = 1.345929); no cointegration. And I confirmed in Eviews 10 this test with the WALD test and I found the same result (F-statistic = 10.20527), but; there is cointegration.

So, according to software eviews 9 there is not a cointegration, and according to software eviews 10 it exists!
Please, where is the problem in this contradiction?

Best wishes

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11503
Joined: Tue Sep 16, 2008 5:38 pm

Re: ardl

Postby EViews Gareth » Wed Jan 10, 2018 3:31 pm

Is your copy of EViews 9 up to date?
Follow us on Twitter @IHSEViews

sam SAM
Posts: 21
Joined: Tue Dec 26, 2017 4:31 am

Re: ardl

Postby sam SAM » Wed Jan 10, 2018 3:36 pm

May 2015

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11503
Joined: Tue Sep 16, 2008 5:38 pm

Re: ardl

Postby EViews Gareth » Wed Jan 10, 2018 3:55 pm

Update it.
Follow us on Twitter @IHSEViews

sam SAM
Posts: 21
Joined: Tue Dec 26, 2017 4:31 am

Re: ardl

Postby sam SAM » Thu Jan 11, 2018 9:40 am

Hi, Good Morning,
ie the problem is at Eviews 9 level?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11503
Joined: Tue Sep 16, 2008 5:38 pm

Re: ardl

Postby EViews Gareth » Thu Jan 11, 2018 9:41 am

We changed the way some ARDL calculations were made in later versions of 9.
Follow us on Twitter @IHSEViews

sam SAM
Posts: 21
Joined: Tue Dec 26, 2017 4:31 am

Re: ardl

Postby sam SAM » Thu Jan 11, 2018 10:10 am

Sorry, The problem is that I confirmed the results of Eviews 9 with the Wald test, and the same on Eviews 10. in the end I found a contradiction !
So, according to software eviews 9 there is not a cointegration, and according to software eviews 10 it exists!
where is the problem?
Last edited by sam SAM on Thu Jan 11, 2018 10:25 am, edited 2 times in total.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11503
Joined: Tue Sep 16, 2008 5:38 pm

Re: ardl

Postby EViews Gareth » Thu Jan 11, 2018 10:19 am

The blog posts outline what EViews 10 is doing. You can decide for yourself whether it matches your model etc...
Follow us on Twitter @IHSEViews

sam SAM
Posts: 21
Joined: Tue Dec 26, 2017 4:31 am

Re: ardl

Postby sam SAM » Fri Jan 12, 2018 2:30 am

thank you


Return to “Suggestions and Requests”

Who is online

Users browsing this forum: No registered users and 1 guest