ARDL Bounds Test CoI Estimation via .PRG
Posted: Thu Oct 18, 2012 1:41 pm
Dear Gareth
Having searched/read lots of partial strands on this topic, I wonder if there exists a definitve (generic) Eviews .PRG template to automate the Bounds Test approach of Pesaran & Shin to Cointegration (Single Equation estimation). I currently use this method "manually" in Microfit 4.1 but am keen to move to Eviews & run numerous/regular CoI regressions in a more more efficient way via .PRG. (BTW Is there any way to automate the comparison of the F & W test statistic with the critical values in Appendix C of MFIT 4.1 manual - can such CV Bounds be coded up into a .PRG to use in an IF statement ?? )
Any pointers appreciated
MT
(Eviews 6 User)
Having searched/read lots of partial strands on this topic, I wonder if there exists a definitve (generic) Eviews .PRG template to automate the Bounds Test approach of Pesaran & Shin to Cointegration (Single Equation estimation). I currently use this method "manually" in Microfit 4.1 but am keen to move to Eviews & run numerous/regular CoI regressions in a more more efficient way via .PRG. (BTW Is there any way to automate the comparison of the F & W test statistic with the critical values in Appendix C of MFIT 4.1 manual - can such CV Bounds be coded up into a .PRG to use in an IF statement ?? )
Any pointers appreciated
MT
(Eviews 6 User)