ARDL Model

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Sal
Posts: 5
Joined: Fri Dec 02, 2011 10:08 am

ARDL Model

Postby Sal » Thu Feb 25, 2016 7:05 am

In estimating the ARDL model, we select the trend specification. In the current version (9), there are four options to choose from:
1) None
2) Rest. constant
3) Unrest. constant
4) Rest. linear trend

My question is about option 4) Rest. linear trend . When selecting this option, it gives the estimated long-run relationship without the constant. I would like to have both the constant and the trend in the estimated long-run relationship. Any idea why there is no constant in this case? I remember that the constant and the trend were both available in option 4 in the Beta version 9.

Thanks,
Sal

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: ARDL Model

Postby EViews Gareth » Thu Feb 25, 2016 7:40 am

That option is not currently available.

Sal
Posts: 5
Joined: Fri Dec 02, 2011 10:08 am

Re: ARDL Model

Postby Sal » Thu Feb 25, 2016 8:12 am

Thank you for the quick response. Do you know if this option will be available in the coming updates?

Thanks,

Sal

Sal
Posts: 5
Joined: Fri Dec 02, 2011 10:08 am

Re: ARDL Model

Postby Sal » Fri Feb 26, 2016 7:01 am

Technical question. What is the maximum number of lags to use in the ARDL model for daily data (oil and stock returns)? Any ideas.

Thanks,

Sal


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