tag:blogger.com,1999:blog-6883247404678549489.post6190230199154664730..comments2024-02-12T03:39:36.880-08:00Comments on EViews: AutoRegressive Distributed Lag (ARDL) Estimation. Part 3 - PracticeIHSEViewshttp://www.blogger.com/profile/04703437003033046408noreply@blogger.comBlogger190125tag:blogger.com,1999:blog-6883247404678549489.post-22585190903966563012023-12-08T23:56:02.488-08:002023-12-08T23:56:02.488-08:00Thank you for the great effort.
I have a question ...Thank you for the great effort.<br />I have a question regarding Coefficient covariance matrix and Standard error.<br />My ARDL model in Eviews 13. Dependent variable followed by regressors: cgb10y ctb3m<br />Fixed regressor: ccpi, ip<br />Lag selection: Automatic<br />When I change Coefficient covariance matrix from Ordinary to HAC, I expect to have different standard errors. Is my expectation wrong or why there is no change in Standard error?<br />Thank you in advance for your help.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-761362520264695122023-12-07T10:51:14.706-08:002023-12-07T10:51:14.706-08:00@IHSEViews Should we analyze the estimates under ...@IHSEViews Should we analyze the estimates under the "Conditional Error Correction Regression" as the short-run estimates or the estimates from the "ECM Regression" after going to view/Coefficient Diagnostics/Error Correction Form?<br /><br />Should we merge the two (pick the estimates whose lags are at level from the Conditional Error Correction Regression and add to the the estimates from the "ECM Regression")?<br /><br />What is the relevance of imposing restrictions on the choice of any of them if any exist?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-24914215849164425512023-10-24T19:54:09.184-07:002023-10-24T19:54:09.184-07:00I am encountering the same problems in eviews 12....I am encountering the same problems in eviews 12. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-5855588389068793882023-09-28T12:44:21.071-07:002023-09-28T12:44:21.071-07:00how i can increase the F in bound test
how i can increase the F in bound test<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-86913312553224760692023-08-29T11:15:42.068-07:002023-08-29T11:15:42.068-07:00Does the ARDL condition require that the dependent...Does the ARDL condition require that the dependent variable be I(1) ?brahimihttps://www.blogger.com/profile/15004033621119251873noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-38444221608724326612023-08-15T21:26:54.958-07:002023-08-15T21:26:54.958-07:00Did you apply the logarithmic transformation to yo...Did you apply the logarithmic transformation to your data? In general, a Box-Cox type transformation should solve your problem (in principle) in order to eliminate the variability of your variance, the logarithmic transformation is one of them.Dsanchttps://www.blogger.com/profile/12419096656528551914noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-2806251048022423722023-08-15T21:26:07.849-07:002023-08-15T21:26:07.849-07:00This comment has been removed by the author.Dsanchttps://www.blogger.com/profile/12419096656528551914noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-69601845754086999972023-08-15T21:22:27.467-07:002023-08-15T21:22:27.467-07:00Hello Eviews team, best regards and thank you very...Hello Eviews team, best regards and thank you very much for this help with this type of estimation.<br />I have a general query that goes one step beyond the example cited in this tutorial, what would happen if the variable Y must be explained by 3 variables X1,X2 and X3 but each of those Xs variables has structural breaks in different periods of time? To place dummies, what would you prioritize, the variables or the error of the model in general?<br />From already thank you very much for your time!Dsanchttps://www.blogger.com/profile/12419096656528551914noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-81062380141399771242023-04-21T07:02:12.684-07:002023-04-21T07:02:12.684-07:00dear sir， how can we conduct wald test for asymmet...dear sir， how can we conduct wald test for asymmetry if Z = Z(-1) + D(Z)？Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-59900568504680230282022-12-17T22:02:36.966-08:002022-12-17T22:02:36.966-08:00Dear EViews Team, Can I also use the DF critical v...Dear EViews Team, Can I also use the DF critical values to perform the t-Bounds test when the comment "p-value incompatible with t-bounds distribution" appears in the conditional error correction regression?<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-42613537086378681872022-12-17T21:55:51.067-08:002022-12-17T21:55:51.067-08:00Dear EViews Team, Can I also use the DF critical v...Dear EViews Team, Can I also use the DF critical values to perform the t-Bounds test when the comment "p-value incompatible with t-bounds distribution" appears in the conditional error correction regression? Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-2188274341169352262022-12-11T10:57:04.814-08:002022-12-11T10:57:04.814-08:00Dear all,
I detected heteroskedasticity in my mod...Dear all,<br /><br />I detected heteroskedasticity in my model. I applied the HAC covariance matrix, but the problem continues. After applied the test again, both f-statistic and p-value havent changed.<br />Any idea what it is happening or how I could solve the heteroskedasticity problem?<br />Thanks,<br />AlineAline Soareshttps://www.blogger.com/profile/00574505018218710459noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-31843790391320456482022-11-30T02:55:13.606-08:002022-11-30T02:55:13.606-08:00helphelpAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-73786433221754660672022-10-24T07:11:36.097-07:002022-10-24T07:11:36.097-07:00Bonjour l'équipe evews comment interpréter le ...Bonjour l'équipe evews comment interpréter le coefficient de fichiers modèle 5 (contant et trend). Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-65135731896662502522022-09-09T21:54:40.104-07:002022-09-09T21:54:40.104-07:00Hello EViews Team, i really want to know why the l...Hello EViews Team, i really want to know why the lags are decreasing in the ECM, for example variables that have lag optimum (6), in the ECM it shows (-5). I belief we use ARDL(6,6,3) above. Why does it?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-9277269237948470532022-08-09T07:04:25.078-07:002022-08-09T07:04:25.078-07:00Dear Eviews team,
I noticed the example on model ...Dear Eviews team, <br />I noticed the example on model 2 does not test for heteroskedasticity after using HAC. Is there a reason for this? i.e. would the test for heteroskedasticity after using HAC fail to reject the null of homoskedasticity?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-39183545649562866892022-07-24T06:34:43.716-07:002022-07-24T06:34:43.716-07:00how do i specifically check if the coefficient of ...how do i specifically check if the coefficient of the levels equation is equal a specific number eg that the coefficient is significantly different from 1?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-90400930385712747042022-07-11T00:46:23.533-07:002022-07-11T00:46:23.533-07:00hi i did my thesis by using ARDL model but still n...hi i did my thesis by using ARDL model but still now ECR is not clear and some variables are not appear in the short run model. can you explain about this?<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-41749554933524713562021-09-01T20:41:41.857-07:002021-09-01T20:41:41.857-07:00Hi, can you deeply explain what is the nature of d...Hi, can you deeply explain what is the nature of dependent variable?Anonymoushttps://www.blogger.com/profile/02216105683354963251noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-75831570607885724002021-07-16T06:31:57.942-07:002021-07-16T06:31:57.942-07:00Have you got the answer for this one? Part 2 is no...Have you got the answer for this one? Part 2 is not opening here. It seems that they removed it. In cases 2 and 4, we do not perform the t-test for nonsensical cointegration. Do you have a clue why?Lucas CFChttps://www.blogger.com/profile/14408142594038292493noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-48584245450176219572021-02-02T13:13:39.692-08:002021-02-02T13:13:39.692-08:00HI Eviews Team, I started used Eviews a day ago. I...HI Eviews Team, I started used Eviews a day ago. I was looking at the graphs above and wanted to understand how did you normalise the data series in the graph. The example codes do not show it. Will appreciate your guidance. Thanks. Honey Karunhttps://www.blogger.com/profile/15022328209272521822noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-46467907386398276142021-01-15T11:44:57.505-08:002021-01-15T11:44:57.505-08:00Hi EViews team. Thank you for the wonderful and co...Hi EViews team. Thank you for the wonderful and concise work in this three-part post on ARDL models. <br /><br />I've been wondering about this tricky issue for years now, maybe someone can help me out:<br /><br />As we know, the unrestricted CEC regression and the ECM regression are estimated via OLS. As so, I believe that one should be able to replicate the coefficients estimated within the EViews' ARDL window in the Least Square window. Note that for the ECM regression, one should run the long-run equation, save its residuals (Proc/Make Residual Series) and use its lagged form to run the ECM regression (i.e., it is a two-step estimation and I know researchers that did exactly that way before EViews 9 provided the ARDL tool). <br /><br />To make it clearer, for an ARDL (2,2) model, one should be able to replicate the coefficients running an OLS as: d(y) d(y(-1)) d(x(-1)) d(x(-2)) resid(-1), where 'resid' is the residual series obtained from the long-run equation. However, it turns out that all coefficients, standard errors, and most diagnostics are totally different when comparing the built-in ARDL method to the two-step OLS approach. I've tried this several times in the last years, with different data. I’ve tried all OLS, FMOLS, and DOLS and got anywhere near the actual coefficients displayed in the built-in method. For the sake of comparison, there are similar packages in other languages that precisely replicate the ARDL coefficients with the more basic LS regression methods. Any thoughts on that? <br /><br />If you are asking why would I want to run the CEC and ECM regressions via the OLS window, it is because we can’t compute Wald tests on the coefficients of the CEC regression. Note that in View\Representations, the user has access to coefficients from the basic estimation (the one that pops out as soon as you regress the model), which I believe represents the 'intertemporal dynamic estimation' as seen in part 1. In fact, everything one can do in terms of coefficient diagnostics (confidence intervals, variance inflation factor, etc) refers to these coefficients, not to those seen at either CEC or ECM windows. Lucas Lourencohttps://www.blogger.com/profile/08476018564448129846noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-50089310677033846392020-12-02T20:40:04.843-08:002020-12-02T20:40:04.843-08:00For example, how if my gdp didn't appear in EC...For example, how if my gdp didn't appear in ECM, but it does appear in long-run ?<br />Anonymoushttps://www.blogger.com/profile/07810933654594860257noreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-5776165488558797032020-11-19T05:38:59.366-08:002020-11-19T05:38:59.366-08:00Did any of you get any solution for this problem y...Did any of you get any solution for this problem yet? if yes, can you let me know how to solve this issue?<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6883247404678549489.post-70737716358289947942020-09-28T17:22:17.698-07:002020-09-28T17:22:17.698-07:00By the way, when I run your example I get "Co...By the way, when I run your example I get "Cointegrating representation from ARDL equation ardlno<br />ardlno.makecoint" when I run mine I get "Cointegrating representation from ARDL equation <br />{%equation}.makecoint"<br /><br />Ray DVhttps://www.blogger.com/profile/12874509594945887668noreply@blogger.com