I'm currently facing an issue in my ARDL
estimation, the model has decided to use
0 lags for one of the variables, but it is not
showing the short-run coefficient. Instead
this is shown: Variable interpreted as Z =
Z(-1) + D(Z). How can this be interpreted?
Does it mean that there is no short-run
relationship?
AUTOREGRESSIVE DISTRIBUTED LAG (ARDL) MODEL 1
Autoregressive distributed lag (ARDL) model was established by Pesaran, Shin, and Smith (2001). Autoregressive distributed lag model is used where the dependent variable is a function of its own past lagged values as well as current and past values of other explanatory variables.
https://www.youtube.com/watch?v=mTa7n1KY9iQ
https://www.youtube.com/watch?v=1wKuhSuENFo
Dear Julius Chalissery,
Kindly, navigate to the following link.
https://forums.eviews.com/viewtopic.php?t=18359
Kindest regards Julius Chalissery
According to EViews User Guide I, any variables suffixed by a double asterisk indicates a dynamic regressor with an optimal lag of zero. As such, EViews does not include lags and differences of such variables but estimates them contemporaneously. Accordingly, such variables should be reinterpreted in the context of the decomposition Zt = Zt-1 + change in Zt. Thus, such variables can be included in the ECt-1 term that arises in each of the conditional error correction regressions. In particular, least squares estimates of coefficients associated with such variables are simultaneously estimates of the coefficients associated with Zt-1 as well as change in Zt. When this is the case, EViews augments the table of regression estimates with a note that such variables should be interpreted as Z=Z(-1)+ D(Z).
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