Frequently ask question about ARDL USING STATA , it is acknowledge that i have copied this post from Aymen Ammari
Any comments plz
Question: How to run Ardl Model in stata ?
Answer:
First calculate the F-Value by Bound testing approach , by getting the F-value you can be in position whether cointegration exist among your indicators or not.
Question: How to run Ardl Model in stata ?
Answer:
First calculate the F-Value by Bound testing approach , by getting the F-value you can be in position whether cointegration exist among your indicators or not.
1- Command for Bound Testing for calculate the F-value is "ardl, noctable btest"
After confirmation the cointegarion in your model you can get ARDL(Long run) and ECM (short run) results,
2- Command is “ardl depvarriable indepvar1 indepvar2 indepvar3 … , aic ec regstore(ecreg)”
Other general command are
“estat dwatson” (Durbin Watson statistics, at 1st order autocorrelation).
“estat archlm” (ARCH LM test for higher order autocorrelation)
“estat bgodfrey” (Breusch Godfrey LM test for higher order autocorrelation)
“estat hottest” (Breusch Pagan Heteroscedasticity test)
“estat ovtest” (Ramsey RESET test)
“estat vif” (Test for the Multicollinearity)
0 comments:
Post a Comment