Search found 4 matches

by solarin
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...
by solarin
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
by solarin
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).
by solarin
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...

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