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  • CS-ARDL stata command

    Hi All I have tried to estimate the CS-ARDL model for three lags order using Dr Kamiar Mohaddes's web page at http://www.econ.cam.ac.uk/people-fil.../research.html (from Debt, Inflation and Growth: Robust Estimation of Long-Run Effects in Dynamic Panel Data Models, with Alexander Chudik, M. Hashem Pesaran, and Mehdi Raissi (November 2013)). The stata command did not work. Can anyone know the stata command for CS-ARDL followed by CD statistic test? Please,

  • #2
    Hi Marwan,
    which Stata command did you use and what exactly did not work?

    The latest version xtdcce2 (you can get it by typing in Stata ssc install xtdcce2) supports CS-ARDL models. Please read the help file or read this post: https://www.statalist.org/forums/for...nal-dependence

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    • #3
      Hi JanDitzen Many thanks for your a fast reply. I have sorted out now by using xtpmg d.dy d.dp dybar dpbar ldybar ldpbar l2dybar l2dpbar l3dybar l3dpbar , lr(l.dy dp) replace mg following Kamair Mohadde. However, how can I get the CD test after or what is the Stata commnad after running CS-ARDL and CD-DL for each model specification.

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      • #4
        HI Marwan,
        just for clarification, is the lag order of the ARDL 3, or 3 cross sectional averages? If it is an ARDL(3,3) model, then you need to add the differences as well, as Mohaddes does in his code examples.

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        • #5
          Hi JanDitzen,...The stata command was exactly taken from Mohaddes...However, how can I get the CD test statistics as Chudik, Mohaddes, Pesaran, and Raissi do. I meant the CD test for each model specification. Another question, I wonder why when you run or estimate MG , I do not get a number of observation shown in the results' Table...

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