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Tagged with ardl econometrics
9 questions
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ARDL model on monetary policy study on eviews
I am actually writing my master's theses on monetary policy trnasmission and I am doubting the results of my ARDL approach . I have 4 models ( 1 benchmark and 3 alternatives )
can someone take a look ...
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Using long-run propensities to compare magnitude of association among independent variables
Is it feasible to add up all significant lags of respective independent variables (disregarding insignificant ones) in order to compare the strength or magnitude of their respective association with ...
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1
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Lag between forecasted and actual values ARDL
I am computing forecasts with ARDL models of different lag length across both dependent and independent variables.
Regardless of the lag lengths, the actual observations for the dependent variable lag ...
- 25
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438
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Can I use ARDL model even if my series aren't stationary?
I have econometric data, and the three tests of unit root: Dickey-Fuller, Phillips–Perron and KPSS have confirmed that more than half of my variables aren't integrated at I(0), nor they are at I(1). I ...
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How would I interpret a dummy variable and interaction term in this time series analysis using ARDL?
I'm doing an econometrics paper analyzing the impacts of oil price shocks on GDP growth. In one of my models, I use change in nominal oil prices, a dummy variable representing negative oil price ...
2
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485
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Do I need to First-Difference Before Using ARDL?
I have a four variables, two of which are $I(0)$ and the other two are $I(1)$.
I've decided to use ARDL (Auto regressive distributed lag) model because I have a mix of $I(0)$ and $I(1)$ variables.
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How to deal with a mix of I(1) and I(0) variables?
It seems that choosing the appropriate model for a mix of I(1) and I(0) variables is an hot topic on Stack Exchange but I was not able to find the solution I am looking for :
Considering a TS model ...
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R - Deriving short and long run effects in ARDL model
I have an ARDL Unrestricted ECM that passes the Bounds test for cointegrtion. Now I want to calculate the short and long run estimates of the model, however I am unsure of how to do this in a ...
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How do I interpret weak exogeneity in an ADL model?
First year econ graduate student here; looking at an ADL (Autoregressive Distributed Lag) model for the first time.
Consider $Y_t = \omega Z_t + \alpha Y_{t-1} + \beta Z_{t-1} + \mu + \epsilon_t$, ...
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