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  • #16
    Anirudh:
    1. The speed-of-adjustment coefficient, \(\alpha\), is positive, as it should be to have convergence towards the long-run equilbrium. What is reported is \(- \alpha\). You cannot directly infer from the regression table that it is statistically significant because the usual p-values are not valid. You need to look at the results from the bounds test with estat ectest, precisely the bounds test for the t-statistic.
    2. That is correct.
    3. That is correct, too.
    To have a cointegrating relationship, the sign of the speed-of-adjustment coefficient must be positive. That means, the reported sign in the output section ADJ must be negative.

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    • #17
      Many thanks for this clarification, Sebastian.

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      • #18
        Hi Everyone,

        I am using STATA 13 and would like to know what is the command for performing the Bounds Test?

        Regards

        Alistair

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        • #19
          If you have not done so already, you first need to install the ardl package as follows:
          Code:
          net install ardl, from(http://www.kripfganz.de/stata/)
          or
          Code:
          ssc install ardl
          Subsequently, you can estimate an ARDL model in the equilibrium correction form with option ec of the ardl command. The bounds test can be obtained afterwards by using the estat ectest postestimation command. Here is an example:
          Code:
          webuse lutkepohl2
          ardl ln_inv ln_inc ln_consump, ec
          estat ectest
          Please see the following presentation for further information:

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          • #20
            I was kindly informed by one of the ardl users that there is a mismatch of the reported bounds test F-statistics between our Stata command and the Microfit program by Pesaran & Pesaran. I have tried to replicate the Stata results with Microfit 5.5. While the ARDL coefficient estimates coincide, I am unable to replicate the F-statistic reported by Microfit. I have double checked the F-statistic reported by our own postestimation command estat ectest and could verify by manual calculation that our F-statistic is correct. I thus want to issue a warning to everyone who uses Microfit that there is a potential problem with the bounds test F-statistic reported there.

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