[Note: For an important update of this post, relating to EViews 9, see my 2015 post, here.]
Well, I finally got it done! Some of these posts take more time to prepare than you might think.
The first part of this discussion was covered in a (sort of!) recent post, in which I gave a brief description of Autoregressive Distributed Lag (ARDL) models, together with some historical perspective. Now it's time for us to get down to business and see how these models have come to play a very important role recently in the modelling of non-stationary time-series data.
Well, I finally got it done! Some of these posts take more time to prepare than you might think.
The first part of this discussion was covered in a (sort of!) recent post, in which I gave a brief description of Autoregressive Distributed Lag (ARDL) models, together with some historical perspective. Now it's time for us to get down to business and see how these models have come to play a very important role recently in the modelling of non-stationary time-series data.
In particular, we'll see how they're used to implement the so-called "Bounds Tests", to see if long-run relationships are present when we have a group of time-series, some of which may be stationary, while others are not. A detailed worked example, using EViews, is included.
