(EViews10):ARDL Models (General-to-Specific) #ardl #ecm #boundstest #cointegration #lags

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CrunchEconometrix
Published at : 12 Dec 2020
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After estimating the ARDL model using the OLS estimation technique and you observed that most of the coefficients are statistically not significant, what can you do? You can modify the over-parameterised model into a “parsimonious” model by testing for redundancy of variables or significance of the coefficients using the Wald test. If the null hypothesis of variables redundancy cannot be rejected, then such variables must be removed from the model. This hands-on tutorial teaches how to construct a parsimonious model (specific) from an over-parameterised ARDL model (general) in EViews10.

Here is the link to the engee2.xlsx dataset used for this tutorial (endeavour to have a Google account for easy accessibility): https://drive.google.com/drive/u/1/folders/14AwPT-DsvVgib1eM-8sMpgBM4kYpyiXm

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