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CUSUM Test in ARDL Models
Posted: Thu Jun 04, 2015 12:49 am
by themba.chirwa
Colleagues,
I am using Eviews 9 and I have been searching if I can also use the CUSUM Test after estimation of an ARDL model. Does anyone have any suggestions on how this can be done.
Thanks in advance.
Best,
Themba Chirwa
Re: CUSUM Test in ARDL Models
Posted: Thu Jun 04, 2015 8:09 am
by EViews Gareth
Currently it isn't available, but will be via an update soon.
Re: CUSUM Test in ARDL Models
Posted: Fri Jun 05, 2015 6:26 am
by Appiah-Konadu
Currently it isn't available, but will be via an update soon.
Collegues I want to estimate the ARDL cointegration model using Eviews 7 but I cannot find it in the drop down menu. can someone help me out with the procedure
Re: CUSUM Test in ARDL Models
Posted: Fri Jun 05, 2015 6:38 am
by EViews Gareth
It was added in EViews 9.
Re: CUSUM Test in ARDL Models
Posted: Thu Apr 30, 2020 3:00 pm
by omerz
Hi I am using CUSUM test for ARDL models in Eviews 11. However although I have 5 years of daily data from 2015 to 2019, my CUSUM test output graph only includes values calculated for 2019. How can I able to view CUSUM Stats for 5 years period. Thank you very much
Re: CUSUM Test in ARDL Models
Posted: Thu Apr 30, 2020 3:05 pm
by EViews Gareth
More details needed:
Code: Select all
create m 2015 2019
series y=nrnd
series x=nrnd
equation eq1.ardl y x
show eq1.rls(q) c(1) c(2) c(3)
Re: CUSUM Test in ARDL Models
Posted: Thu Apr 30, 2020 3:12 pm
by omerz
For monthly data your code showed CUSUM graphics for all years. But I am working on daily data with 1826 obs. and can still only see 2019 values for CUSUM
Re: CUSUM Test in ARDL Models
Posted: Thu Apr 30, 2020 3:27 pm
by EViews Gareth
Code: Select all
create d7 2015 2019
series y=nrnd
series x=nrnd
equation eq1.ardl y x
show eq1.rls(q) c(1) c(2) c(3)
Re: CUSUM Test in ARDL Models
Posted: Thu Apr 30, 2020 3:39 pm
by omerz
Your simulated data prints CUSUM test results for entire time line. However it is not the case for my equation. I have 39 dynamic terms and about 80 fixed terms in my model. Does these fixed terms could be the reason behind this problem
Re: CUSUM Test in ARDL Models
Posted: Thu Apr 30, 2020 3:57 pm
by EViews Gareth
No.
Re: CUSUM Test in ARDL Models
Posted: Thu Apr 30, 2020 4:01 pm
by omerz
Can you guess what is the possible problem behind this problem? I can check further specification errors in my work file
Re: CUSUM Test in ARDL Models
Posted: Thu Apr 30, 2020 4:06 pm
by EViews Gareth
I'm guessing you're doing something wrong, but without further details, it is impossible to guess what.
Re: CUSUM Test in ARDL Models
Posted: Thu Apr 30, 2020 4:13 pm
by omerz
As I said before I have 111 independent vars, which 39 of them enters the dynamic part of ARDL eq., in addition I have 80 fixed variables in the model. I have 1826 obs and I am using white het. resistant se estimation. My after estimating my model, I run view/stability tests - CUSUM test. This is te case... But I cant see the recursive calculation for entire sample, I can only see values for 2019