All Questions
6 questions
0
votes
1
answer
24
views
Interpret $R^2$ for a long-run equilibrium model (2 stage OLS)
I've built an error correction model using two stage OLS - first an OLS on the cointegrated I(1) variables in levels to get the cointegration coefficients, and then an ARDL in differences with the ...
- 3
1
vote
0
answers
34
views
ECM Specification of ARDL model
I have a question regarding the model reparametrization of an ARDL model.
Consider the following ARDL$(p,q,q,\ldots,q)$ model:
\begin{equation}
y_{it} = \alpha_i + \sum_{j=1}^{p} \lambda_{ij} y_{i,t-j}...
- 309
1
vote
0
answers
4k
views
Using a ECM/VECM or ARDL model? Why and How?
I have a couple of question regarding the use ECM/VECM and Johansen test for cointegration.
In my model (6 variables), I have only one variable that is Stationary in its level, the remaining five ...
- 11
1
vote
1
answer
3k
views
Autocorrelated residuals in ARDL and/or ECM
When there is an issue of autocorrelation in an ARDL or ECM model, are we allowed to use AR(1) to correct for the problem?
What is the difference between ARDL model and ECM model?
1
vote
0
answers
122
views
Level variables along with differenced variables in ARDL / Error Correctional Model
I am running an ARDL model, I have both levels and difference variables. I know for sure that the difference variables should be included in the ECM but should I include the level variables as well?
- 53
4
votes
3
answers
11k
views
ARDL/Error Correction Model: long vs. short run, restricted vs. unrestricted
I have a few questions about unrestricted error correction models.
The UECM for a model where $Y$ is the dependent variable and $x$ is the sole independent variable is given by
$$
\Delta Y_{t}=\...
- 133