My posts on ARDL models and bounds testing (here and here) have certainly been popular. So, I was really pleased to see that Yashar Tarverdi has produced an "Add-In" for the EViews package that makes this type of econometric analysis somewhat easier.
You can download the the add-in program and its installer here. The add-in is called "ARDLbound", and it largely automates the key steps associated with bounds testing using an ARDL model.
The main limitation of the program, as far as I can see, is that it allows for only one explanatory variable, and of course often such models include several "X" variables. None the less, this is a great resource, so a big "thank you" to Yashar for putting this together!
Here's an illustration of what you get with the ARDLbound add-in.
My dependent variable is y and the regressor variable is x.The unit root testing is going to be undertaken with the ADF test; I'm going to allow for up to 6 lags of the variables in the model; and the lag specification is going to be based on minimizing the SIC values.
The program chooses an ARDL(1,1) specification:
Here are the various statistics associated with every possible lag specification:
Although this is the preferred specification on the basis of minimizing SIC, in this instance not all of the variables in the ARDL model are statistically significant. But this is just a "pretend example", to show you what to expect when you use this add-in.
Now - off to the sandpit, and play nicely!