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  • ARDL Stata

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    Amine Margoum
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    To test for cointegration using the bounds test approach, use the "ardl, noctable btest" command to calculate the F-value. If cointegration is confirmed, use the "ardl depvarriable indepvar1 indepvar2 indepvar3 ... , aic ec regstore(ecreg)" command to obtain the long-run ARDL results and short-run ECM results. Additional commands like "estat dwatson", "estat archlm", and "estat bgodfrey" can test for autocorrelation, while "estat hottest" and "estat ovtest" test for heteroscedasticity and model specification.

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    ARDL Stata.txt

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    To test for cointegration using the bounds test approach, use the "ardl, noctable btest" command to calculate the F-value. If cointegration is confirmed, use the "ardl depvarriable indepvar1 indepvar2 indepvar3 ... , aic ec regstore(ecreg)" command to obtain the long-run ARDL results and short-run ECM results. Additional commands like "estat dwatson", "estat archlm", and "estat bgodfrey" can test for autocorrelation, while "estat hottest" and "estat ovtest" test for heteroscedasticity and model specification.

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    102 views1 page

    ARDL Stata

    Uploaded by

    Amine Margoum
    To test for cointegration using the bounds test approach, use the "ardl, noctable btest" command to calculate the F-value. If cointegration is confirmed, use the "ardl depvarriable indepvar1 indepvar2 indepvar3 ... , aic ec regstore(ecreg)" command to obtain the long-run ARDL results and short-run ECM results. Additional commands like "estat dwatson", "estat archlm", and "estat bgodfrey" can test for autocorrelation, while "estat hottest" and "estat ovtest" test for heteroscedasticity and model specification.

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    First calculate the F-Value by Bound testing approach , by getting the F-value you

    can be in position whether cointegration exist among your indicators or not.


    1- Command for Bound Testing for calculate the F-value is "ardl, noctable btest"
    After confirmation the cointegarion in your model you can get ARDL(Long run) and
    ECM (short run) results,
    2- Command is “ardl depvarriable indepvar1 indepvar2 indepvar3 … , aic ec
    regstore(ecreg)”
    Other general command are
    “estat dwatson” (Durbin Watson statistics, at 1st order autocorrelation).
    “estat archlm” (ARCH LM test for higher order autocorrelation)
    “estat bgodfrey” (Breusch Godfrey LM test for higher order autocorrelation)
    “estat hottest” (Breusch Pagan Heteroscedasticity test)
    “estat ovtest” (Ramsey RESET test)
    “estat vif” (Test for the Multicollinearity)

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