Hi, I'm doing my research for ASEAN countries in panel data applied with PMG/panel ARDL model. Since PMG model restrict serial correlation and it was panel, the diagnostic test for Autocorrelation, Heteroscedasticity, RAMSEY reset test, CUSUM test in Eviews sure cannot run in panel data. May I know what should I do?
See these links:
https://www.researchgate.net/post/What_kind_of_Diagnostic_test_can_i_run_with_a_panel_ardl
https://www.researchgate.net/post/What-diagnostic-tests-can-we-apply-on-panel-data-when-we-use-FMOLS-and-DOLS
https://www.eviews.com/EViews9/ev9ecest_n.html
Well, since you are making use of PMG/ARDL for panel, once you check for cross-sectional dependence and found that it does not exist. Then go ahead, check for panel cointegration using Pedroni or any other. Once there is cointegration, proceed to estimate the cross-sectional short-run coefficient if needed, and interpret your results. All these can be done using eviews.
However, if there are cross-sectional dependence you will have to use the second-generation cointegration test and unit root test which are available in Stata.