How can I estimate an ARDL model with panel data in Eviews or Stata? If anybody has Eviews guideline or Stata, the DO file is kindly recommended to me?
Dear Aslam, ARDL model with panel data is referred to as nonstationary heterogeneous panel model or panel ARDL model. You can use the "xtpmg" command for the estimation. Very importantly, your time dimension (T) must be greater than the number of cross-sections or panels (N) (that is, T>N) for its applicability. You can contact me via e-mail for guidance or "do-file". Thanks.
https://www.google.com/url?sa=t&rct=j&q=&esrc=s&source=web&cd=&cad=rja&uact=8&ved=2ahUKEwi3wPS45MDtAhVMKBoKHedtDocQFjAJegQIARAC&url=http%3A%2F%2Fblog.eviews.com%2F2017%2F05%2Fautoregressive-distributed-lag-ardl.html&usg=AOvVaw0UkL2xzS1jDdUmzBrD3rU0
Dave Gile's blog is pretty helpful ---
https://davegiles.blogspot.com/2015/01/ardl-modelling-in-eviews-9.html
(1) check dynamic property --- making sure no series is I(2) or above (2) Estimate ARDL (3) Bounds tests (4) VAR and Granger Causality tests, if you wish
Kindly check http://www.eviews.com/help/content/preface.html
The estimation method in EViews is the PMG/ARDL - Pooled Mean Group / AR Distributed Lag Models.
The link below can help you with all basic procedures for PMG/ARDL estimation.
https://youtu.be/JDVr5FIL78Q
- Badges
- Science topic
- Similar topics
- Mathematical Sciences
- Statistics
- Statistical Software
- SPSS