Some Questions About ARDL Models

The majority of the blog-related comments and requests for help that I receive come from the one person - called "Anonymous". 

(S)he seems to have very broad interests.

Here's a very recent request for help relating to ARDL models - something that I've posted about here and here.

"I am working on income inequality. Can I use ARDL as I have only 27 annual observations? Also does ARDL itself takes care of problem of endogeneity? And what about if there is multicollinearity among explanatory variables - can we still use ARDL? Is any EViews code available to run ARDL?"

Taking the questions in order........

Do You Use P-Values and Confidence Intervals?

Unless your econometrics training has been true-blue Bayesian in nature, you'll have reported a lot of p-values, and constructed heaps of confidence intervals in your time.

Both of these concepts have been the centre of widespread controversy in the statistics literature since their inception. It's probably good to be aware of this - just so you don't go and "shoot yourself in the foot" at some stage.

Economist/econometrician Aris Spanos has published an interesting and readable piece about all of this In a recent issue of the journal, Ecology. His paper is titled, "Recurring Controversies About P Values and Confidence Intervals Revisited". You can read a summary on the Error Statistics blog, here.

I strongly recommend this paper.

© 2014, David E. Giles