Dear Academics;
I would be so grateful if you could answer the above question and provide me with a resource showing the steps of applying the panel ARDL model when having a moderator variable.
To deal with a moderator when applying the panel ARDL model, one should first check the optimal lag order and then run panel unit root tests and panel autocorrelation tests to check for any presence of moderating effects. If present, linear static and dynamic panel data estimators can be used to investigate the impact of economic freedom on the relationship between variables, while an ARDL framework can be used to assess the moderating effect of economic freedom on the relationship between oil price fluctuations and trade.
When dealing with a moderator variable in a panel autoregressive distributed lag (ARDL) model, the approach would be to include the moderator variable as an explanatory variable in the model, along with the other explanatory variables. The moderator variable would be interacted with one or more of the explanatory variables, to capture the effect of the moderator on the relationship between the explanatory variables and the dependent variable.
Here are the steps for including a moderator variable in a panel ARDL model:
It's important to note that the way the moderator variable is interacted with the explanatory variables can have an impact on the results and interpretation of the model. It is recommended to consult with an econometrics expert when working with panel ARDL models, as the analysis is complex and requires a good understanding of the underlying theory and assumptions.
It is also important to check for the presence of panel-specific issues like cross-sectional dependence, temporal dependence and unobserved heterogeneity and correct for them using appropriate techniques.
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