Search found 4 matches
- Mon Jun 18, 2012 5:36 am
- Forum: Estimation
- Topic: ARDL Approach to Cointegration
- Replies: 31
- Views: 78327
Re: ARDL Approach to Cointegration
I am not sure if there is any specific justification to use 12 lags for monthly data. On the ECT, I think the procedure is right. But will suggest you go back to microfit and use it ( with different lag specification) until you get to ecm, then lift it (ect term beneath the result, then go to Proces...
- Fri Jun 15, 2012 6:36 pm
- Forum: Estimation
- Topic: ARDL Approach to Cointegration
- Replies: 31
- Views: 78327
Re: ARDL Approach to Cointegration
go ahead
- Sun Feb 26, 2012 7:55 am
- Forum: Econometric Discussions
- Topic: estimating time series model with I(0),I(1),I(2) processes
- Replies: 1
- Views: 3397
Re: estimating time series model with I(0),I(1),I(2) process
Try stationarity tests with structural breaks such as Zivot and Andrews (1992) Lee and Strazicich (2003, 2004). These may turn the series to at most I(1). I think you can use ARDL, if the series are I(0) and I(1).
- Sun Feb 26, 2012 3:02 am
- Forum: Estimation
- Topic: ARDL Approach to Cointegration
- Replies: 31
- Views: 78327
Re: ARDL Approach to Cointegration
the bound test can be easily done in eviews via: go to Estimate and specify your Equation under LS-Least Squares(NLS and ARMA): like d(DV) c dDV(-1 to -4) dfirstIV(-1 to -4) dsecondIV(-1 to -4) DV(-1) fisrtIV(-1) secondIV(-1)and so on then go to View-- Wald-Coefficient Tests--Coefficient restriction...
