ARDL Bounds Test - 6of6 (Short Run Dynamics)

This is the final video in my new ARDL series. I show how to conduct ARDL short run causality test both within the bounds test result and also, when there is no cointegration. EViews 10 is used. I provide helpful interpretations of the results and in particular, the value of each coefficient. Finally, I show how to perform a joint test of significance of all lagged regressors using Wald test. Enjoy :-)

[nguyentu]

thank you so much, your lecture helps me a lot

[chelseajacob]

Hello sir,
Thank you very much. God bless you.

[pawalucious]

Very well explained, Prof. A question though out of curiosity. What is the theoretical justification for including the difference operator in the short run specification?

[mdimranhossainmilon]

Dear sir,
Thank you so much for your vedio. I would like to ask whether the result in table at 4:02, the value of speed adjustment ECT is positive. In that case what can i do to make it negative value.

[LifelongStudentBelgium]

Hi thank you sir for this really clear video. I want to ask, whether or not you have to include the current year as you did. Because you found optimal lag 1 for LARR. but in another video (maybe from a competitor: crunchmetrix) only the lagged differenced variables are used.

[chakraacharya]

Obi Thanks ! I got ECT=-2.11 with statistically significance what happens! other serial correlation, bound test, stability test are desirable.

[izzatabelle]

Dear prof, your video is valuable.
at 8:06 when you test for short-run model of no-cointegration equation and using lag 1. Is it because of in the lag length test shows the optimal lag is in lag 1 ?

[amaimask]

Hello sir, thank you for your video it help me alot. I have done ecm and bound test and i have some question sir.
In my bound test i find the data is cointegrated, however i didnt have negative and significant ect in ecm analysis, is that mean cointegrated result in bound test didnt always mean we have cointegration in the long run sir?, Is cointegrated result in bound test only mean we possibly have long relationship and ect result determine whether we have long run relationship or not?, If that so why some people always told the variable is cointegrated in the long run when the they find result in bound test or johansen test is good?

[arritaberjani]

Dear sir,

Thank you for your videos on ARDL, they were very helpful.
I have a question regarding the short run coefficient interpretation. EViews selected the model ARDL(1, 1, 0, 3, 0). Does this mean that in the short sun there is relation between the dependent variable and the one with 0 lags)?

This would help a lot.
Thank you in advance.

[owendeboer]

Hi Sir, Thank you very much for your informative videos. They have been of great help. However, I am currently still left with two questions. Namely, I have included an exogenous dummy variable in my ARDL model to account for a structural break which previously interfered with the stability of my model. However, when I try to conduct a new Cusum test, it only shows me the time period after the structural break. How can I resolve this? Additionally, what is the added value of assessing the optimal lag length of the ARDL model beforehand? Would it not be possible to select automatic selection, opt for max lag length (12) and let Eviews do the work? Curious to hear your thoughts. Many thanks.

[arubawx]

Hi, just a question. Let say we are looking at GDP, Tourism arrival and crime. Were the idea is to get a picture on crime. If for example your ect is -0.85 and we know that there are causality running from long-run values of GDP, Tourism arrival towards crime, can we use the ect equation to see if either GDP or Tourism has a positive or negative relationship with crime? In the short-run dynamics its easy to see from the ARDL model, but the long run dynamics I am not sure.
thanks
marc

[Azam_Pakistan]

Great reised version. A few queries Sir, do you mean it is sufficient to explain only the contemporaneous term to report short-run causality and not its lags? Secondly if in a joint test these jointly don't turn out to be non-significant but the contemporaneous term is significant, can we interpret the contemporaneous. Grateful.

[zoyashah]

Sir if my optimal lag selection criteria is 3 and I estimated short run coefficients taking lag 3.my ECM is negative and significant ..But all my variables current year value is coming insignificant but its lag values of previous years are showing significant.Then how do I interpret the short run dynamics??

[chelseajacob]

Thank for your reply but I watched a video on it but the tutor used stata to explain it instead of Eviews.

[chelseajacob]

Hi,

Thank you very much, that was a quick response from you. I really appreciate.

However, from the video link you posted, it was on time series estimation, but my question is on estimating panel ARDL long run/bound test . I am using standalone Eviews 11 academic version and I could not get the long run/bound test from the dialogue box after clicking on the coefficient diagnostics from views to determine the F-stat. If the problem is from the type Eviews Ii am using, which model of Eviews do you recommend I should purchase.
Thank you.

[chelseajacob]

Hi
Thanks was

Please I am having issues using Eviews 10 university Edition to estimate ARDL long-run /Bound test.

I clicked on coefficient diagnostics in View, the dialogue box that came out does not contain long-run/bound test.

What should I do please.

Thankyou.

[angelaadomokhai]

Thank you for this. Please after running my ARDL ECM, I have only the constant and the error correction term, and no short run differenced variable. What does this mean please? Also can i still go ahead and explain the long run relationship since my f-statistics is greater than my I(1) bounds

[hanisamalin]

Hi, what is actually the meaning of the long and short run ? Is it the number of years or what? I still cant defined them properly, 🥲

[chelseajacob]

Good day sir,

Please when you have inconclusive result while estimating Bound Test, do you still estimate the short run ARDL model.
Thank you.

[chelseajacob]

Hello Prof,

Kindly help me out here,
I tried converting my variables into log form and I got an error message of "log of non positive number- Missing data generated"
From what I read I discovered that this is as result of negative numbers in my variables. My question is - how can I convert negative numbers to log form in Eviews?
Thank you.