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  • How do you find the r-squared and f-stat for an ARDL panel data model?

    Hi, I'm running a panel data ARDL model to see If there's a relationship between GDP per capita and female secondary school enrolment, including infant mortality and female labour force participation rate as additional dependent variables.

    My code is:

    xtpmg d.lngdppc d2.secen d.lfpr d2.lninfmort , lr(l.lngdppc secen lfpr lninfmort) dfe replace ec(ec) cluster(country).

    If it is useful, N=3 and T=58, I used the Fisher test for unit root.

    I have two questions.
    Firstly, is it acceptable for me to have I(2) series in the model? From the reading I have done (Persaran, 2001) I have only seen I(0) and I(1) mentioned.
    Secondly, how do I obtain the r-squared and f-stat values for the model?

    Thanks in advance for any help.

  • #2
    In addition, I'm unsure if I can have I(1) series and I(2) series, both are in the code above