tag:blogger.com,1999:blog-2198942534740642384.post8361903972728865798..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: Some Questions About ARDL ModelsDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger8125tag:blogger.com,1999:blog-2198942534740642384.post-61232624729682580132017-05-23T11:01:02.451-07:002017-05-23T11:01:02.451-07:00I've noted repeatedly in my posts about ARDL m...I've noted repeatedly in my posts about ARDL models that they can't be used if any of the variables are I(2).Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-34149384931117269962017-05-23T10:59:37.123-07:002017-05-23T10:59:37.123-07:00Hello sir,
thank you for your job. I have a quest...Hello sir,<br /><br />thank you for your job. I have a question: what should I do if the dependent variable is I(2) and the other variables is I(1)?<br />Thank youAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-1719319342568672802015-10-28T08:29:41.678-07:002015-10-28T08:29:41.678-07:00Yes, you can.Yes, you can.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-3217004927292050662015-10-28T00:37:47.025-07:002015-10-28T00:37:47.025-07:00Hello Sir,
Thanku Sir for giving a valuable steps...Hello Sir,<br /><br />Thanku Sir for giving a valuable steps for ARDL model.<br />Can i use ARDL model for Panel DataAnonymoushttps://www.blogger.com/profile/00862392081497578447noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-60478255155644153562015-09-03T08:16:28.464-07:002015-09-03T08:16:28.464-07:00Yes, you can. This is clear in the original Pesara...Yes, you can. This is clear in the original Pesaran et al. papers.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-76538335373877709032015-09-02T16:56:19.353-07:002015-09-02T16:56:19.353-07:00Dear Prof Giles
Thanks for the valuable informati...Dear Prof Giles <br />Thanks for the valuable information. sir. <br />Can you tell me sir can we use ARDL model in the situation where Dependent Variable is I(0) and independent Variables are I(1). Thank you sir Anonymoushttps://www.blogger.com/profile/16355528359488434880noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-44808058113130514102014-07-31T14:11:42.277-07:002014-07-31T14:11:42.277-07:00No. Both lagged Q and lagged P are "predeterm...No. Both lagged Q and lagged P are "predetermined" and can serve as their own instruments, provided that the errors are not autocorrelated.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-64303521798380595902014-07-31T14:07:11.342-07:002014-07-31T14:07:11.342-07:00Dear Prof. Giles,
A question on endogeneity: I...Dear Prof. Giles,<br /><br />A question on endogeneity: I'm estimating a standard demand equation with Q as the dependent variable and P as one of the regressors (alongside price of substitute and demand shifter). I'm so far using standard IV (2SLS) with cost shifters as instruments. But, both on economic terms as well as on econometric specification, it makes sense to include lagged Q and lagged P as regressors. Now, as you said, due to endogeneity, try to fit an ARDL model to this demand equation may not be appropriate. My question is: how can I apply IV methods to such dynamic model? Should I instrument the lagged Q and P as well (since Q is a function of lagged Q and lagged P, these two variables are correlated to the contemporaneous error, no?)?M Nakanenoreply@blogger.com