tag:blogger.com,1999:blog-2198942534740642384.post2621928187090037820..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: ARDL Modelling in EViews 9Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger228125tag:blogger.com,1999:blog-2198942534740642384.post-89471095148825690322019-09-26T04:04:54.592-07:002019-09-26T04:04:54.592-07:00It should be a fixed regressor. After all, it'...It should be a fixed regressor. After all, it's just "shifting" the intercept in the model, and the intercept itself is a fixed regressor.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-69593482516116176732019-09-26T01:14:32.750-07:002019-09-26T01:14:32.750-07:00Dear Professor, can I include dummy variable in AR...Dear Professor, can I include dummy variable in ARDL estimation? Or it should be a fixed regressor?Vickienoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-63725397227959440862019-08-24T07:52:16.918-07:002019-08-24T07:52:16.918-07:00You cannot have ANY I(2) variables anywhere in the...You cannot have ANY I(2) variables anywhere in the model.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-81987560577049518182019-08-24T07:51:29.928-07:002019-08-24T07:51:29.928-07:00There could be several reasons. Your errors may be...There could be several reasons. Your errors may be autocorrelated, for instance, and then the tests won't be appropriate. You may have mis-specified the lag structure (do you have enough lags included?) If you have a fairly small sample then this could be the reason.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-83059487751326342782019-08-24T07:48:36.351-07:002019-08-24T07:48:36.351-07:00This comment has been removed by the author.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-91514362037343720422019-08-24T07:46:35.514-07:002019-08-24T07:46:35.514-07:00Hi Professor, if F-bound test indicates there is l...Hi Professor, if F-bound test indicates there is long run relationship but all the long run coefficients are not significant. What does it mean?Vickynoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-85083502402390662482019-08-13T05:41:07.598-07:002019-08-13T05:41:07.598-07:00Take a look at this post..... https://davegiles.b...Take a look at this post..... https://davegiles.blogspot.com/2012/01/cointegration-analysis-with-i2-i1-data.htmlDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-320855356211247892019-08-12T18:01:45.842-07:002019-08-12T18:01:45.842-07:00Hi Professor, my variables are a mix of I(0), I(1)...Hi Professor, my variables are a mix of I(0), I(1) and I(2), what method can I use to determine the long-run relationship? Johansen cointegration only applicable with I(1) variables and ARDL can't have I(2)... Vickienoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-63530367699706486362019-06-20T10:16:14.299-07:002019-06-20T10:16:14.299-07:00Congratulations!Congratulations!Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-15773563216922617712019-06-20T06:20:05.208-07:002019-06-20T06:20:05.208-07:00Thanks to your invaluable ARDL articles prof Giles...Thanks to your invaluable ARDL articles prof Giles I've managed to co-author a scoups referenced publication<br />https://www.researchgate.net/publication/333699466_Financial_Wealth_Inequality_drivers_in_a_small_EU_member_country_An_example_from_Bulgaria_during_the_period_2005-2017<br />Warm regards dear prof. GilesPeshevhttps://www.blogger.com/profile/15241562466610309897noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-12721331394122846072019-05-05T06:17:23.112-07:002019-05-05T06:17:23.112-07:00If you want to send me the EViews file at dgiles@u...If you want to send me the EViews file at dgiles@uvic.ca, I'll take a quick look for you.<br />DGDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-63430221116706803942019-05-05T04:15:06.895-07:002019-05-05T04:15:06.895-07:00Hello Prof. Thanks for the post. I am having issue...Hello Prof. Thanks for the post. I am having issues with the breaks i included in the ARDL estimation. When i want to set them as fixed regressors the model will not run and a message of singular matrix will pop up...i am not sure how to go about this.M.Jallowhttps://www.blogger.com/profile/12376595383626395101noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-86205104779679288612019-02-21T06:36:54.614-08:002019-02-21T06:36:54.614-08:00A dummy variable can't be I(1). It is bounded ...A dummy variable can't be I(1). It is bounded to take values of either 1 or 0. So, it will be I(0). But it can still be included in an ARDL model.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-63634627857912508572019-02-20T19:24:45.289-08:002019-02-20T19:24:45.289-08:00If the dummy variable is I(1), is it possible to i...If the dummy variable is I(1), is it possible to include that dummy as a fixed regressor in the ARDL approach? Thanks. <br />Anuruhttps://www.blogger.com/profile/06537609951027415713noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-57512744681061261402018-12-10T07:12:01.058-08:002018-12-10T07:12:01.058-08:00Dear Professor,
Wishing to read a blog on panel AR...Dear Professor,<br />Wishing to read a blog on panel ARDL using eviews 10 too. Muhammad Asghar Guthttps://www.blogger.com/profile/04577017245455610304noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-27287839353346139742018-08-04T14:57:33.155-07:002018-08-04T14:57:33.155-07:00Wow!
Very educatingWow! <br />Very educatingAnonymoushttps://www.blogger.com/profile/03428937816491462345noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-22204432571862505402018-04-07T07:13:03.062-07:002018-04-07T07:13:03.062-07:00Sean - I had a lot of posts in 2013 - which one, s...Sean - I had a lot of posts in 2013 - which one, specifically, are you referring to?Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-70063347087553244022018-04-06T16:30:52.641-07:002018-04-06T16:30:52.641-07:00Hi Dave,
I have read your previous post in 2013 r...Hi Dave,<br /><br />I have read your previous post in 2013 regarding how you "tricked" eviews into generating multiple lags in order to choose the maximum lag. However, I have tried to replicate your method on eviews 10 and it did not work out. Can you give me some advice on this issue. Thanks!<br /><br />By the way, I am new to eviews.Seannoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-12845508660344328412018-01-30T20:19:34.209-08:002018-01-30T20:19:34.209-08:00Dear Dave,
we are waiting for your valuable contri...Dear Dave,<br />we are waiting for your valuable contribution about nonlinear ARDL and Quantile ARDL, as it is now emerging as important ways of analysis.<br />Thank you for your informative website. It improved the skills of many of us.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-28521125488487055692017-12-21T05:43:32.101-08:002017-12-21T05:43:32.101-08:00In terms of goodness of fit, just treat an ARDL mo...In terms of goodness of fit, just treat an ARDL model like any other regression model, so R-squared and adjusted R-squared have the usual interpretations/strengths/weakneses.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-31488065034463352042017-12-21T04:16:31.960-08:002017-12-21T04:16:31.960-08:00Thanks for sharing Prof. Which R squared should I ...Thanks for sharing Prof. Which R squared should I use to see the goodness of fit?Anonymoushttps://www.blogger.com/profile/04187837206531448790noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-94376302139531312017-10-07T05:59:36.331-07:002017-10-07T05:59:36.331-07:00Yes - it can be I(0) or I(1).Yes - it can be I(0) or I(1).Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-16483112329232762632017-10-07T05:59:10.968-07:002017-10-07T05:59:10.968-07:00It must be I(1) or I(0) - you can;t use ANY I(2) v...It must be I(1) or I(0) - you can;t use ANY I(2) variables in standard bounds testing.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-33948017120990665462017-10-07T05:57:37.294-07:002017-10-07T05:57:37.294-07:00This comment has been removed by the author.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-71738057614823382932017-10-06T19:47:00.597-07:002017-10-06T19:47:00.597-07:00Sir you have used Gas variable I(0)as dependent in...Sir you have used Gas variable I(0)as dependent in ARDL model Can we use I(0) variable as dependent variable?<br />sivaAnonymoushttps://www.blogger.com/profile/13665324636921212732noreply@blogger.com