Eviews9 ARDL Cointegrating and Long Run Form

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andrew.lau
Posts: 4
Joined: Mon Jul 15, 2013 9:21 pm

Eviews9 ARDL Cointegrating and Long Run Form

Postby andrew.lau » Tue Aug 11, 2015 8:18 pm

Hello there people of Eviews,

I think there is a bug in Eviews9 where, if you estimate a bunch of ARDL equations in a workfile, the coefficients for the each ARDL equation will be the same when viewed in Cointegrating and Long Run form, see below.

Eviews ARDL 1.PNG
Eviews ARDL 1.PNG (83.94 KiB) Viewed 1192 times


I think Eviews9 might just be displaying the coefficients from the most recently estimated ARDL equation?
When I view the Bounds Tests for each of these equations, the coefficients are different from the Cointegrating and Long Run form.

EViews Gareth
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Re: Eviews9 ARDL Cointegrating and Long Run Form

Postby EViews Gareth » Tue Aug 11, 2015 9:10 pm

Build date of your copy of EViews (Help->About EViews)?
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andrew.lau
Posts: 4
Joined: Mon Jul 15, 2013 9:21 pm

Re: Eviews9 ARDL Cointegrating and Long Run Form

Postby andrew.lau » Thu Aug 13, 2015 7:27 pm

Hi there Gareth,

My build date is Apr 20 2015 build

I think my system administrators have disabled the update Eviews feature on my desktop, so it is probably out of date.

If this issue has already been fixed then please ignore my post.

Cheers

Andrew Lau

EViews Gareth
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Re: Eviews9 ARDL Cointegrating and Long Run Form

Postby EViews Gareth » Thu Aug 13, 2015 7:50 pm

I would thoroughly recommend updating. You can try doing it manually:
http://www.eviews.com/download/download.html
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ngantran
Posts: 4
Joined: Fri Oct 07, 2016 8:04 pm

Re: Eviews9 ARDL Cointegrating and Long Run Form

Postby ngantran » Fri Oct 07, 2016 8:30 pm

Hello,

I think the bug of long-run form is still there. I am using Eviews 9.5 (updated September 2016). I found that the long-run coefficients calculated from bounds test are different from those from cointegrating and long run form. Please see pictures below.

Untitled.png
Untitled.png (163.52 KiB) Viewed 761 times

Untitled1.png
Untitled1.png (161.98 KiB) Viewed 761 times


For example: From bounds test (pic1), the long-run effect of RISK on LONG = -(0.442182/-0.163614)=-2.702592688. However, the result from cointegrating and long run form (pic 2) indicates that number is 0.196087, so much different from bounds tests. I used HQC information criteria in this example. When I changed to AIC, the bug disappears.

Could you please help me to fix that bug?
Thank you so much!

igor
Posts: 4
Joined: Thu Dec 24, 2015 10:32 am

Re: Eviews9 ARDL Cointegrating and Long Run Form

Postby igor » Sat Oct 08, 2016 9:08 am

For ngantran:

The regressions you presented are not the same. There are two variables in the second model that are not included in the first one. So the models are not fully comparable.
p.s. Sorry, I was, probably, wrong if these two variables has zero lags. Thus, you question is relevant.

For Gareth:

It seems that there are some problems with ARDL.

1. When the lags are fixed then all is ok, but when the lags are selected by info criteria then the coeffifents in ARDL Bounds Test regression and Cointegrating Form are somewhat different. They have to be the same.
2. There is also another issue: fixed regressors should not be inclided in the long run equation. For this reason, current ARDL bounds test prosedure cannot replicate example from PSS(2001). One can do this only manually in Eviews.

It should be great if a new version of Eviews permits fully replication of PSS(2001). You can include an appropriate data file as an example.

Best regards,
Igor

ngantran
Posts: 4
Joined: Fri Oct 07, 2016 8:04 pm

Re: Eviews9 ARDL Cointegrating and Long Run Form

Postby ngantran » Fri Oct 14, 2016 12:34 am

Hi, thanks for your reply.

There is a case with zero lags in two variables. I realise that in this case, if you compute the long-run estimation based on bounds tests from Eviews, it will return different results from cointegration and long-run form. This error does not occur in the case with minimum 1 lags.

Could you please explain why as both of models, in theory, should return the same result?

Thanks.

EViews Gareth
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Re: Eviews9 ARDL Cointegrating and Long Run Form

Postby EViews Gareth » Fri Oct 14, 2016 8:35 am

You're right, there is a bug in the case that zero lags are selected. We'll look into fixing it (might take a while).
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Lasse
Posts: 3
Joined: Thu Jan 26, 2017 2:59 am

Re: Eviews9 ARDL Cointegrating and Long Run Form

Postby Lasse » Fri Feb 17, 2017 5:37 am

Any update on how the bug fixing is going? Is the bug still there?

EViews Gareth
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Re: Eviews9 ARDL Cointegrating and Long Run Form

Postby EViews Gareth » Fri Feb 17, 2017 5:47 am

Still working on it, but it shouldn't be too much longer.
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