ardl
Moderators: EViews Gareth, EViews Moderator

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

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

 Posts: 300
 Joined: Fri Apr 15, 2011 5:35 am
Re: ardl
Hi
What can you say about when this functionality will be added?
Thomas
What can you say about when this functionality will be added?
Thomas

 Posts: 2
 Joined: Tue Dec 26, 2017 4:45 am
Re: ardl
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: Fstatistic =
6.299721 / k = 5
In Eviews10: Fstatistic =
16.37981 / k = 5
what does
it mean?
Cordially
***********************************************************************************************************************************************************************
In Eviews9: Fstatistic =
6.299721 / k = 5
ARDL
Bounds Test
Date: 12/26/17 Time: 14:15
Sample: 1989 2013
Included
observations: 25
Null Hypothesis: No
longrun relationships exist
Test Statistic Value k
Fstatistic 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 tStatistic 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
Rsquared
0.787975 Mean dependent var
256.5458
Adjusted Rsquared
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
HannanQuinn criter.
13.77062
Fstatistic 6.194057
DurbinWatson stat 2.093658
Prob(Fstatistic) 0.001054
***********************************************************************************************************************************************************************
In Eviews10: Fstatistic =
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 tStatistic
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
* pvalue incompatible with tBounds
distribution.
** Variable interpreted as Z =
Z(1) + D(Z).
Levels Equation
Case 2:
Restricted Constant and No Trend
Variable Coefficient Std.
Error tStatistic 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 )
FBounds
Test Null Hypothesis: No levels
relationship
Test
Statistic Value Signif. I(0) I(1)
Asymptotic: n=1000
Fstatistic
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

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: Fstatistic =
6.299721 / k = 5
In Eviews10: Fstatistic =
16.37981 / k = 5
what does
it mean?
Cordially
***********************************************************************************************************************************************************************
In Eviews9: Fstatistic =
6.299721 / k = 5
ARDL
Bounds Test
Date: 12/26/17 Time: 14:15
Sample: 1989 2013
Included
observations: 25
Null Hypothesis: No
longrun relationships exist
Test Statistic Value k
Fstatistic 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 tStatistic 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
Rsquared
0.787975 Mean dependent var
256.5458
Adjusted Rsquared
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
HannanQuinn criter.
13.77062
Fstatistic 6.194057
DurbinWatson stat 2.093658
Prob(Fstatistic) 0.001054
***********************************************************************************************************************************************************************
In Eviews10: Fstatistic =
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 tStatistic
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
* pvalue incompatible with tBounds
distribution.
** Variable interpreted as Z =
Z(1) + D(Z).
Levels Equation
Case 2:
Restricted Constant and No Trend
Variable Coefficient Std.
Error tStatistic 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 )
FBounds
Test Null Hypothesis: No levels
relationship
Test
Statistic Value Signif. I(0) I(1)
Asymptotic: n=1000
Fstatistic
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


 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11503
 Joined: Tue Sep 16, 2008 5:38 pm
Re: ardl
Was your EViews 9 up to date? Changes were made to the calculations.
Follow us on Twitter @IHSEViews

 Posts: 2
 Joined: Tue Dec 26, 2017 4:45 am
Re: ardl
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 (Fstatistic = 6.299721), but on Eviews 10 I found (Fstatistic = 16.37981), please, Where is the problem?
I confirmed in eviews 9 the bounds test with the WALD test and I found the same result (Fstatistic = 6.299721), but on Eviews 10 I found (Fstatistic = 16.37981), please, Where is the problem?
"THE DIFFERENCE BETWEEN EVIEWS 9 AND EVIEWS 10 IN THE BOUNDS TEST"
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 (Fstatistic = 1.345929); no cointegration. And I confirmed in Eviews 10 this test with the WALD test and I found the same result (Fstatistic = 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
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 (Fstatistic = 1.345929); no cointegration. And I confirmed in Eviews 10 this test with the WALD test and I found the same result (Fstatistic = 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

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

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

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11503
 Joined: Tue Sep 16, 2008 5:38 pm
Re: ardl
We changed the way some ARDL calculations were made in later versions of 9.
Follow us on Twitter @IHSEViews
Re: ardl
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?
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.

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