Professional Documents
Culture Documents
Figure 1:
How it works The program goes through following steps:
1. Check the variables to be time series.
2. Check the series to be stationary(This method(bound test) is applicable to
time series which become stationary after taking maximum two differences.)
3. Based on the selected max lag, this add-in estimate an ECM with all lag
P
combination possible.The equation is yt = 0 + 0 yt1 + 1 xt1 + i ytj +
P
i xtj
4. Based on selected criterion, it highlights the best lag combination along
with the F-value from Wald test(This F-value is required for comparison with
tables in Pesaran et al(2001)).
5. At the end a table is presented. And the line that delivers satisfactory criterion
is colored in Red.(Figure 2). Also, the other criterion that might be satisfactory
becomes orange(Figure 3).
Figure 2:
Figure 3:
Contact and Support I would appreciate any feedback and comment about the
add-in.