I am struggling to find a solution to the problem in EViews 12 (build 2022-04-22): how does one have a variable enter the long-run but not the short-run relationship and still conduct the bounds test for the long-run relationship with all variables?
I am estimating an ARDL(2, 1) model with 3 exogenous regressors:
Y[t] = mu + rho1*Y[t-1] + rho2*Y[t-2] + b10*X1[t] + b11*X1[t-1] + b20*X2[t] + b21*X2[t-1] + b30*X1[t] + b31*X1[t-1] + U
Theory says that b30=0, i.e. there is no immediate response of Y[t] to X3[t]. So X3 enters only the long-run relationship through X3[t-1].
I have been trying to estimate this model, but to no avail:
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equation my.ardl(fixed, deplags=2, reglags=1) y x1 x2 x3
gives the unrestricted model with b30 estimated. Doing my.testdrop l_frin helps, but then, I cannot find a way to save the restricted model and do the long-run test on it.
However,
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equation my.ardl(fixed, deplags=2, reglags=1) y x1 x2 @ x3(-1)
yields the correct model, but then, X3 is not in the EC term, i.e. the test is conducted for Y − (...*X1 - ...*X2), whilst X3 is thrown out. I also tried @fl to specify the fixed lag, as described in https://forums.eviews.com/viewtopic.php?t=18979, but it seems to set the fixed maximum lag with all lags up to the maximum one included. So how do I exclude one specific lag from ARDL estimation (or restrict the coefficient on it to be zero) and still have the full testable EC relationship with all variables? Restricted VARs and VECMs seem to offer facilities for constrained estimation, but I was not able to find it for ARDL.
I should be grateful for a prompt reply.
Yours sincerely,
Andreï V. Kostyrka