tag:blogger.com,1999:blog-6883247404678549489.post6190230199154664730..comments2019-05-18T10:12:51.556-07:00Comments on EViews: AutoRegressive Distributed Lag (ARDL) Estimation. Part 3 - PracticeIHSEViewshttp://www.blogger.com/profile/04703437003033046408noreply@blogger.comBlogger117125tag:blogger.com,1999:blog-6883247404678549489.post-32006339673797556172019-04-15T12:58:05.927-07:002019-04-15T12:58:05.927-07:00The blog was written by the EViews team...The blog was written by the EViews team...Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-61509861068177539082019-04-03T07:51:44.012-07:002019-04-03T07:51:44.012-07:00Dear Prof. Dr. Dave Giles. I salute to you. This i...Dear Prof. Dr. Dave Giles. I salute to you. This is one of the best blogs I have ever seen. I appreciate it and I would learn more from your analysis. Can you please share this data with me so that i could personally try doing so for practice. I would be highly obliged. Here is my email khan.himayatullah@aup.edu.pkHimmy Khanhttps://www.blogger.com/profile/06702422968121938601noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-89792212885649462942019-04-01T03:55:43.476-07:002019-04-01T03:55:43.476-07:00Hello,
You have to go to Eviews10, and after ...Hello,<br /> You have to go to Eviews10, and after the general ARDL model estimation please click on:<br />ARDL Long Run Form and Bounds Test<br />Cprdiallyecointelligencyhttps://www.blogger.com/profile/09764228437124629520noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-90321271986681153532019-03-30T06:04:24.955-07:002019-03-30T06:04:24.955-07:00Thanks for your reply. What do you mean, please?Thanks for your reply. What do you mean, please?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-87320452563253796462019-03-18T10:08:56.279-07:002019-03-18T10:08:56.279-07:00This comment has been removed by the author.ecointelligencyhttps://www.blogger.com/profile/09764228437124629520noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-51784379519255423152019-03-18T09:13:51.136-07:002019-03-18T09:13:51.136-07:00There is no such thing as "best". Genera...There is no such thing as "best". Generally people prefer to have the EC term bounded between 0 and -1. This is because the model is convergent without an oscillatory trajectory and is therefore easier to interpret.IHS EViewshttps://www.blogger.com/profile/04703437003033046408noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-80002097435346164202019-03-18T02:08:46.334-07:002019-03-18T02:08:46.334-07:00Hello EViews team...
Excuse me, the best value of ...Hello EViews team...<br />Excuse me, the best value of EC, it is between -1 and 0? or between -2 and -1?<br />Thank youAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-85810592697102326142019-03-06T05:14:34.843-08:002019-03-06T05:14:34.843-08:00Hello, you have to see;
ARDL Run Long Form and Bou...Hello, you have to see;<br />ARDL Run Long Form and Bounds Test<br />Best wishesecointelligencyhttps://www.blogger.com/profile/09764228437124629520noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-62003286370330532302019-03-06T05:14:11.166-08:002019-03-06T05:14:11.166-08:00This comment has been removed by the author.ecointelligencyhttps://www.blogger.com/profile/09764228437124629520noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-70690725529119507582019-03-05T23:49:12.243-08:002019-03-05T23:49:12.243-08:00Hi all, I have an ARDL model with all variables la...Hi all, I have an ARDL model with all variables lagged by one. When when I go to the Error correction form, it will only show the variables but not their lag. Do you know why the lagged variables (in this case lag 1) are missing from the ECM Regression in Eviews 10, please? Thank youUnknownhttps://www.blogger.com/profile/06427778572741159640noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-78760270835442006802019-02-12T00:20:56.405-08:002019-02-12T00:20:56.405-08:00Hi there eViews team
I'm using NARDL in eView...Hi there eViews team<br /><br />I'm using NARDL in eViews and I would like to ask something<br /><br />In Shin et. al(2013), they drop insignificant different lags from their model. I was wondering how do we achieve this using eViews and if we can't, will there be any issues?<br /><br />Thank you in advance!<br />Krishttps://www.blogger.com/profile/16931733333697401406noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-11822514383054595772018-12-30T05:58:20.896-08:002018-12-30T05:58:20.896-08:00Thank you very much for your comprehensive answer....Thank you very much for your comprehensive answer. It is the most sensible way of interpreting EC term I’ve found so far. Unknownhttps://www.blogger.com/profile/11854702280634140625noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-59967280313170196792018-12-29T10:03:07.842-08:002018-12-29T10:03:07.842-08:00This is a great question! To answer it however, we...This is a great question! To answer it however, we need to understand what dynamic (in)stability means. The idea of dynamic stability (convergence) stems from the study of difference equations. In time series, and in our particular case, this typically reduces to first-order difference equations of the form:<br /><br />y_{t} = b*y_{t-1} + u_{t}<br /><br />Now, mathematical theory of difference equations says that there are 4 possible types of dynamic paths that y_{t} can assume in this system:<br /><br />1) Oscillatory path (fluctuates above and below some value): this happens when b < 0<br />2) Non-oscillatory path: this happens when b > 0<br />3) Convergence (stability): this happens when -1 < b < 1<br />4) Divergence (instability): this happens when b =< -1 or b >= 1<br /><br />Now, consider the ECM equation which we're going to simplify as follows:<br /><br />Delta y_{t} = (EC)*y_{t-1} + other terms<br /><br />where EC is the error-correction coefficient. Next, re-write this equation in terms of y_{t} to obtain:<br /><br />y_{t} = (1 + (EC))*y_{t-1} + other terms<br /><br />In light of our discussion on difference equations, we can see that the dynamics of this system are effectively governed by the term b = 1 + (EC). This is the same b we used above. Alternatively, in terms of (EC) we obtain that (EC)=b-1.<br /><br />Consider now the four dynamic cases:<br /><br />1) Oscillatory (b < 0): This implies that (EC) < -1<br />2) Non-oscillatory (b<0): This implies that (EC) > -1<br />3) Convergence (-1 < b < 1): This implies that -2 < (EC) < 0<br />4) Divergence (b =< -1 or b >= 1): This implies that (EC) =< -2 or (EC) > =0<br /><br />From this, we can see that the allowable range (the one that leads to a stable system) for the error-correction coefficient in an ECM regression is in fact from 0 to -2 (case 3) above) and NOT from 0 to -1 as most people perceive. Furthermore, we see that if the error-correction coefficient (EC) is less than -1 but not less than -2 (which is case 1) and case 3) simultaneously, and the case you have in your regression), this is perfectly fine. Your system is in fact stable, but, according to case 1) above, will simply lead to oscillatory behaviour. In other words, your system will oscillate above and below the equilibrium value in a dampening fashion until it eventually settles down to the equilibrium path.<br /><br />Hopefully this answers your question.IHS EViewshttps://www.blogger.com/profile/04703437003033046408noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-13821525008265371422018-12-29T04:47:41.071-08:002018-12-29T04:47:41.071-08:00I got an EC term of -1.13 in my ECM Regression whi...I got an EC term of -1.13 in my ECM Regression which is negative but less than -1. Is this a problem or we can interpret it somehow? What could be the reason? Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-46344363423493425352018-12-27T09:48:18.751-08:002018-12-27T09:48:18.751-08:00Hello, and thank you for your colaborations and yo...Hello, and thank you for your colaborations and your honorable site ...<br /> Please, can we see a nonsensical co-integration if we have case 4 or case 2 (If i = 2, 4)?<br />Cordiallyecointelligencyhttps://www.blogger.com/profile/09764228437124629520noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-22236260223467676892018-12-24T09:33:03.138-08:002018-12-24T09:33:03.138-08:00Note that the F- and t- tests are not alternative ...Note that the F- and t- tests are not alternative tests. Their functions are entirely different. Thus, you cannot get "contradicting" results between them. Both tests are necessary and complement each other. Please have a look at the last branch graph in the ARDL part 2 entry. From here, you can see taht if you fail to reject the null hypothesis (based on F-test), then you don't have to run the t-test. However, if you do reject the null hypothesis, then you should run the t-test to identify which of the 3 alternative hypotheses arises. If you fail to reject the null hypothesis of the t-test, then you know that alternative hypothesis A1 (non-sensical relationship) came about. Alternatively, if you reject the t-test hypothesis, then either alternative A2 (cointegrating relationship is standard, and it does indeed exist) or A3 (cointegrating relationship is degenerate) arises.IHS EViewshttps://www.blogger.com/profile/04703437003033046408noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-39837598277131404562018-12-24T09:22:57.014-08:002018-12-24T09:22:57.014-08:00Consider the long-run and short run impact of the ...Consider the long-run and short run impact of the zero-lag variable as you would the constant, which is technically a zero-lag variable as well. In other words, as in the restricted constant version, the zero-lag variable gets absorbed by the long-run equation (cointegrating equation) entirely.IHS EViewshttps://www.blogger.com/profile/04703437003033046408noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-62685512928933320682018-12-24T09:14:27.540-08:002018-12-24T09:14:27.540-08:00I'm not sure I understand what exactly you mea...I'm not sure I understand what exactly you mean by identification. Nevertheless, if you mean what is the coefficient associated with the cointegrating relationship (the long run), then, after estimating the ARDL model, you can obtain this coefficient by going to View/Coefficient Diagnostics/Error Correction Form. The coefficient will be labeled CointEq(-1) in the table output. All other coefficient estimates in this output will be associated with the transitory (short-run) variables.IHS EViewshttps://www.blogger.com/profile/04703437003033046408noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-71407995500700749072018-12-24T09:00:24.732-08:002018-12-24T09:00:24.732-08:00If a process is I(2) then its first difference is ...If a process is I(2) then its first difference is I(1). In other words, the first difference has a unit root. Thus, we test for a unit root in the first difference process.IHS EViewshttps://www.blogger.com/profile/04703437003033046408noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-30677574243484442592018-12-21T03:28:55.545-08:002018-12-21T03:28:55.545-08:00This comment has been removed by the author.ecointelligencyhttps://www.blogger.com/profile/09764228437124629520noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-60523604433607416762018-12-21T03:25:10.016-08:002018-12-21T03:25:10.016-08:00This comment has been removed by the author.ecointelligencyhttps://www.blogger.com/profile/09764228437124629520noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-69977158400350615232018-12-18T08:25:23.991-08:002018-12-18T08:25:23.991-08:00Is it possible that you get contradicting results ...Is it possible that you get contradicting results between F-Bounds test and t-bounds tests for a given level of significance? For instance, I got F-statistic value as 4.6194414 with I(0) = 2.86 and I(1)= 4.01. Also t-statistic value is -3.612247 with I(0) = -2.86 and I(1) = -3.99. Thus, with F-statistic there is clearly cointegration while with t-statistic, what can I conclude about cointegration? This is at 5% level of significance. Please help me out.<br /> <br /><br /><br />MANOJ KUMAR Joshihttps://www.blogger.com/profile/11682031855337748860noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-4011504236444405082018-12-11T01:50:38.387-08:002018-12-11T01:50:38.387-08:00If I understood correctly, the step 2 states that ...If I understood correctly, the step 2 states that you have to check whether variables are all non-stationary in 2nd difference. Why you didn't test for unit root in 2nd difference to ensure that none of variables are I(2)?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-5547482642125462112018-11-20T12:57:05.339-08:002018-11-20T12:57:05.339-08:00Up...
What can we say about short term effects of ...Up...<br />What can we say about short term effects of zero lagged variables? Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-81011232183742355572018-11-16T05:20:37.314-08:002018-11-16T05:20:37.314-08:00how to identify short run and long run coefficient...how to identify short run and long run coefficient in ardl model in eviwes10 Unknownhttps://www.blogger.com/profile/10393919967438508722noreply@blogger.com