Positive and negative shock series in NARDL
Posted: Mon Sep 23, 2024 7:25 pm
by miharbi
Hi everyone,
In EViews 13, I would like to extract the independent variables' positive and negative shock series in a NARDL model. How can I do that?
Many thanks for considering my request.
Re: Positive and negative shock series in NARDL
Posted: Wed Sep 25, 2024 7:47 pm
by miharbi
Reminder!
Re: Positive and negative shock series in NARDL
Posted: Thu Sep 26, 2024 8:18 am
by EViews Mirza
Hi there!
After running your ARDL regression, you can proceed to
Proc/Make Regressor Group. This will generate all the regressors used in the estimation, including the NARDL series. Alternatively, you can use the @CUMDP, @CUMDN, @DCUMDP, and @DCUMDN to generate your own asymmetric series used in NARDL estimation. The documentation is here:
https://www.eviews.com/help/helpintro.h ... 3ww1215375
Re: Positive and negative shock series in NARDL
Posted: Thu Sep 26, 2024 6:14 pm
by miharbi
Thank you for the helpful guidance and the documentation link! I appreciate your support
.