Hi~
I try to do pmg estimation.
As you know, ardl model can be rewrited in error correction form.
I have a question in using xtpmg command.
For example, let there exist a cointegration bewteen y(depedent var) and x.
And suppose w and z affect y in the short-run.
If I enter d.z and d.w without including those in lr( ),
like "xtpmg d.y d.x d.z d.w , lr(l.y x) ec(ec) replace pmg" ,
do I make a mistake in ardl model specification?
Thanks in advance for your kind advice.
Won Choi
I try to do pmg estimation.
As you know, ardl model can be rewrited in error correction form.
I have a question in using xtpmg command.
For example, let there exist a cointegration bewteen y(depedent var) and x.
And suppose w and z affect y in the short-run.
If I enter d.z and d.w without including those in lr( ),
like "xtpmg d.y d.x d.z d.w , lr(l.y x) ec(ec) replace pmg" ,
do I make a mistake in ardl model specification?
Thanks in advance for your kind advice.
Won Choi
