Novel Dynamic ARDL Models

[mrarkohler]

Dear All

I have recently come across the novel dynamic ARDL model which was put forward by
Jordan & Philips (2018) as additional coding in Stata (see attached paper).

In the paper the authors introduce a suite of Stata programs designed to assist users in modeling and visualizing the effects of autoregressive distributed lag models, as well as testing for cointegration. We discuss the bounds cointegration test proposed by Pesaran, Shin, and Smith (2001), which we have adapted into a command. Because the resulting models can be dynamically complex, we follow the advice of Philips (2018) by introducing a flexible program designed to dynamically simulate and plot a variety of types of autoregressive distributed lag models, including error-correction models.

I was wondering whether there is anything similar in the latest version of Eviews or an add-in
that could handle something similar.

I would really appreciate some feedback in this respect

[EViews Mirza]

Hello there!

If my understanding of the attached paper is correct, I believe you can do similar things in EViews using the model object. In particular, estimate an ARDL equation object and throw it into a model object. From there, you can perform a stochastic solve of the model which should give you something very similar to the stochastic simulation functionality of the attached paper. If you wish to do things similar to the counterfactual analysis in the attached paper, you can proceed by introducing various scenarios into the model object and determine how the solution path changes as you introduce said changes.

Regards,
Mirza

[mrarkohler]

Thanks for the reply where you suggested....

"estimate an ARDL equation object and throw it into a model object"......

I have never used this function, could you perhaps lead me briefly through the steps?

[EViews Mirza]

Start here: https://www.eviews.com/help/helpintro.h ... ls.html%23