2nd Generation Panel Cross Section ARDL Model in STATA for Cross Section Dependent & Dynamic Models

This video explores the #2nd-generation #panel data analysis in advanced #econometrics which include cross sectional dependence test, 2nd generation panel unit root (#XTCIPS) test, 2n generation Panel cointegration (#westerlund), slope homogeneity test and panel structural break test. All of these tests help to build the logic for CS ARDL model in #STATA

[nikolaizaicev]

We need to use CD test for each variable independently?

I see many of videos, where they use xtpmg+fe or re to generate residuals first, and then apply the CD test to those residuals.

That has totaly confused me, since, I do not use linear fixed effects model but Panel ARDL+ECT and DFE with (2 2 2 2 2 ) optimal lags.

Would I need to estimate the complete Panel ARDL model first with all the laged variables, run it, predict the residuals and then apply the CD test on those residuals?
Or is it sufficient just to test each separate variable for CD like you did in your video, in my case?

Thank you.

[rabiakhalid]

Thanks for this information, I am running cs ardl command in STATA but it is giving error (''option lr() is not allowed'')

[dr.anusuyabiswas-ecoeconom]

@nomanarshed I received error while performing xtcd lCO2 (log carbon dioxide). I tested unit root xtunitroot ips, then employed xtreg on panel data with N-41 and T-26. afterwards trying to test cross sectional dependence but i found Error r(133). Plz help

[eyuptanil]

your f prob value is 0.13, can ı say this model biased ?

[zeeshankhawaja]

hello nauman kindly share more videos on panel data that how to select lag length while conducting panel unit root test and ardl panel data techniques including methods for cross sectional dependence.

[yasmeensarwarabbasi]

Aoa sir
May i have your email address please.i neend guidelines for the use of cs-ardl technique in my research project. As i am facing alot of issue n am also a new stata user

[Ganieirfan]

thanks for this video. I am getting this error when runnugn cross section depenendence test contains all missing values r(498);" . I have an unbalanced panel with no missing values. Please help.

[wendyaledon]

good day sir, in running for cointegration tests, are we going to use the level form or the stationarized data? also, in performing cointegration, does it need to be I(1) or can i use mix I(0) and I(1)? thank you in advance

[yousufkhan]

Assalamalaikum Noman bhai, I hope u r well
when i m using this command in stata as u have mentioned in your video
xtdcce2 d.im, lr[l.d.im y ghg] lr_option[ardl] cr[im y ghg] cr_[0] full sample
it is saying option lr is incorrectly specified. can you help me to figure out this issue

[necatib.]

Ican select "cr_lag(0)" and if the probability value of the CD statistic is greater than 0.10 and F is less than 0.10, then I can use this model for my article

[kimsesizlerinsesi]

may you explain briefly how to determine lags variables in CS ARDL ? are we use akaike kriterio if yes. how to learn aic of model CS ARDL, which code?

[necatib.]

can we add dummy variables in CS_ARDL?

[meenakshigautam]

for cross sectional dependence when i am using the command it is giving unrecognised

[kimsesizlerinsesi]

ı didnt understand why you add lag of same varieables inside lr(----) equiestions?

[eyuptanil]

ıf my all varieables I(1), can ı apply CS-ARDL ?

[MyQamarali]

AssalamoAlikum Sir,
I tried hard to run CS-ARDL or CS-DL but unfortunately I could not run it. I found this warning different time.
"factor variables may not contain noninteger values"
What does it mean?

[mariashabir]

I have a confusion in command, sir why did you put 2 independent variables and then you wrote (L(0/1).lter then 4th independent variable(L(0/2).idcps.
I didn't understand those things can you please explain it

[younisahmed]

Does structural break test require any package I'm unable to run that command it's showing error

[necatib.]

why did you take cr_lags(0) ? pesaran recommned [T^(1/3)]. can we use crlags(0) ?

[lagabyousraassia]

Sir, I have a similar situation with conflicting results between the Westerlund and Pedroni tests. The Westerlund test indicate that there is no cointegration, while the Pedroni test indicates the presence of cointegration.
(I have n=4, t=37, and the presence of CSD.) what i have to do?
Thank you