ARDL - A unique question
Posted: Tue Jul 29, 2014 1:54 pm
Hello All,
Let's say I estimate an ARDL model of the following type
d(emp_t) c @trend emp_t(-1) lnroad(-1) d(emp_t(-1)) d(lnroad(-1)) ,
the coefficient of emp_t(-1) was b/w -1 and 0 and also the f-stat of c(3) and c(4) was greater than the upper bound value. Now I save the residual of the above equation in a series called ECM and estimate another regression for short run relationship.
my questions: which regression should I now estimate?
1) d(emp_t) c @trend d(emp_t(-1)) d(lnroad(-1)) ecm(-1)
or
2) d(emp_t) c @trend d(emp_t) d(lnroad) ecm(-1)
Secondly , also let's say that the coefficient of ecm(-1) is not b/w -1 and 0 , can we conclude that the variables have long run relationship but they do not have any short run relationship?
Would really appreciate if you can reply at your earliest.
Let's say I estimate an ARDL model of the following type
d(emp_t) c @trend emp_t(-1) lnroad(-1) d(emp_t(-1)) d(lnroad(-1)) ,
the coefficient of emp_t(-1) was b/w -1 and 0 and also the f-stat of c(3) and c(4) was greater than the upper bound value. Now I save the residual of the above equation in a series called ECM and estimate another regression for short run relationship.
my questions: which regression should I now estimate?
1) d(emp_t) c @trend d(emp_t(-1)) d(lnroad(-1)) ecm(-1)
or
2) d(emp_t) c @trend d(emp_t) d(lnroad) ecm(-1)
Secondly , also let's say that the coefficient of ecm(-1) is not b/w -1 and 0 , can we conclude that the variables have long run relationship but they do not have any short run relationship?
Would really appreciate if you can reply at your earliest.