All Questions
12 questions
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406
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How to estimate the order of the ARDL model in R?
I have to build the best fitting ARDL model with d(log(GDP)) as the dependent variable and d(int. rate) as a regressor and use AIC for the lag selection with maximum 12 lags for the regressor and 12 ...
- 23
2
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0
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321
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Stationarity in an ADL model
In an ADL model, in order to be consistent do we require both the IV and DV to be stationary?
In particular in a process of the form: $$\Phi(L)y_t=\Theta(L)x_t+\epsilon_t$$
where $\Phi(L)$ and $\...
- 73
5
votes
1
answer
4k
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Which test for lagged effect of one time series on another?
I have a data set with three variables: year (21 consecutive years) and two time series which are count data (count1 and count2). I want to know whether count2 correlates with some time delay lag with ...
- 81
2
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1
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1k
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ARDL model: lag order selection for valid inference
I estimated an ARDL model of 6 variables. After several attempts (using different lags) to find a better estimate, I got a selected ARDL model using AIC as (1,1,0,0,1,2) while using SIC is ARDL (1,0,0,...
1
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1
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1k
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Should we remove non-significant lagged variables in ARDL?
One video on youtube removes non-significant lags from the ARDL regression while others keep all the non-significants too and rely on Wald test for effects. My questions are as follows:
While using ...
- 21
2
votes
1
answer
807
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Polynomial distributed lag AR model specification
Generally speaking, polynomial distributed lag (PDL) models deal with independent variables and autoregressive (AR) models deal with dependent variables (their errors), but are there ever occasions ...
- 857
1
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0
answers
165
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Conflicting cointegration results due to different lags in Johansen procedure
I have been using two different models for cointegration: Johansen's test and ARDL (autoregressive distributed lag). I guess this example could be extendent for other cointegration models as well.
I ...
- 475
3
votes
1
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3k
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VAR/VECM/ARDL optimal lag selection
Question 1: Is it necessary to consider AIC and the BIC criteria when selecting the lag for a VAR, VECM or ARDL model OR can I use something else?
Example: Can I pick 12 lags because the model simply ...
- 475
2
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0
answers
2k
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Lag length selection in a dynamic model, ARDL approach to cointegration in R
I want to programme an ARDL approach to cointegration in R. Below is the generic equation:
$$\Delta y_t=\beta_0+\sum \beta_i \Delta y_{t-i}+\sum \gamma_k \Delta x_{1,t-k}+\sum \psi_j \Delta x_{2,t-j}+\...
- 554
2
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1
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2k
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AIC/BIC values keeps falling as I add more and more lags. How do I select the appropriate lag length?
I am trying to minimize the values of the Akaike and Bayesian Information Criteria to figure out the optimal lag structure for my ARDL error correction model. I am using Stata to run my analysis and ...
- 133
1
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1
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2k
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Autoregressive distributed lag models ADL(p,q) determining amount of lags
I would like to know how I can determine the appropriate amount of lags in Matlab or another statistical package. I'm getting confused with VAR models and ARMAX models all the time and I'm a little ...
- 137
0
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0
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3k
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Autoregressive distributed lag models ADL(p,q): seeking "how to" preferably in Matlab (Stata/R/Python/C# etc)
Could anyone provide me the details of how to determine the lag order of the distributed lags for an $\text{ADL}(p,q)$ model in Matlab or another statistical package (and very much preferably in ...
- 137