All Questions
6 questions
2
votes
1
answer
617
views
How to correct for serial correlation in an ARDL model without increasing lags?
I'm currently looking to run an ARDL model - I'm able to compute results that show cointegration, however there is serial correlation when I run the Durbin-Watson and Breusch-Godfrey tests. To correct ...
- 21
0
votes
1
answer
94
views
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
2
votes
1
answer
7k
views
How to calculate interim and long-run multipliers in ARDL models with >1 lag?
I have calculated an ARDL(24,36) model with 1 independent variable. The data is monthly, hence the inclusion of so many lags.
I am trying to calculate the interim multiplier (the cumulative effect at ...
- 375
2
votes
1
answer
2k
views
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
0
votes
0
answers
3k
views
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
1
vote
0
answers
2k
views
Forecasting an ADL model
I am fairly new to Stata, currently taking an undergrad time series econometric class. The economic significance of the regression I am running and attempting to forecast is all but zero; this is ...
- 11