ARDL and forecasting

[John Andrews]

Hello,

I am interested in using the ARDL model for forecasting

I found a working paper by Kripfganz and Schneiderardl: Estimating autoregressive distributed lag and equilibrium correction models, located in this link

https://www2.econ.tohoku.ac.jp/~PDes...D-2022-006.pdf

that has a forecasting exercise. I was trying to replicate it but I could not.

In the official paper (https://journals.sagepub.com/doi/10....6867X231212434) this forecastig excercise has been omitted.

Is there any reason for it?

Since it is possible to use the ARDL for forecasting is there any example code that we could use?

Many thanks in advance!


Stata 17

[George Ford]

https://tohoku.repo.nii.ac.jp/records/137822

forecast example at p. 28

[Sebastian Kripfganz]

As part of the reviewing process, it was recommended that we replace the empirical example from the working paper with a "more interesting" one. This is why the Stata Journal article contains a different example.

Can you be more specific why you could not replicate the working paper example?