Dear Statalists,
I hope this post finds you well.
I am using the user-written package egranger for two-step ECM analysis.
What I do not understand is that why D.X (i.e., first differenced dependent variable) is missing from the regression.
Here is an example from the help file.
I know it sounds daft, but I was expecting D.ln_se but it is not there.
It is probably due to reparameterisations but I could not prove it myself by hand
.
The above results can be replicated here.
The results from ardl are clear. How can I replicate the results in a form of regression?
I specified lag(2), why there is no L2D.ln_se but only LD.ln_se?
I am using Stata16.
Many thanks!
Regards,
Min
I hope this post finds you well.
I am using the user-written package egranger for two-step ECM analysis.
What I do not understand is that why D.X (i.e., first differenced dependent variable) is missing from the regression.
Here is an example from the help file.
I know it sounds daft, but I was expecting D.ln_se but it is not there.
It is probably due to reparameterisations but I could not prove it myself by hand
.
Code:
. . use http://www.stata-press.com/data/r8/rdinc.dta , clear . egranger ln_ne ln_se, ecm lag(2) Engle-Granger 2-step ECM estimation N (1st step) = 55 Number of lags = 2 N (2nd step) = 52 Engle-Granger 2-step ECM ------------------------------------------------------------------------------ D.ln_ne | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- _egresid | L1. | -.465695 .0881672 -5.28 0.000 -.6431663 -.2882237 | ln_ne | LD. | .5168296 .1846592 2.80 0.007 .14513 .8885292 L2D. | .3684522 .2002311 1.84 0.072 -.0345921 .7714965 | ln_se | LD. | -.3773024 .2080446 -1.81 0.076 -.7960744 .0414696 L2D. | -.4641549 .2242527 -2.07 0.044 -.9155521 -.0127577 | _cons | .0575856 .0102661 5.61 0.000 .036921 .0782501 ------------------------------------------------------------------------------
Code:
. regress ln_ne ln_se . capture drop resid . predict double resid, res . regress D.ln_ne L.resid L(1/2)D.(ln_ne ln_se)
I specified lag(2), why there is no L2D.ln_se but only LD.ln_se?
Code:
. ardl ln_ne ln_se, ec lag(2) ARDL(2,2) regression Sample: 1950 - 2002 Number of obs = 53 R-squared = 0.8320 Adj R-squared = 0.8141 Log likelihood = 164.10637 Root MSE = 0.0116 ------------------------------------------------------------------------------ D.ln_ne | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- ADJ | ln_ne | L1. | -.174766 .0564022 -3.10 0.003 -.2882326 -.0612993 -------------+---------------------------------------------------------------- LR | ln_se | .9565596 .010002 95.64 0.000 .9364383 .976681 -------------+---------------------------------------------------------------- SR | ln_ne | LD. | .4226139 .1306762 3.23 0.002 .1597274 .6855005 | ln_se | D1. | .5808521 .1270762 4.57 0.000 .3252077 .8364964 LD. | -.5274931 .1398072 -3.77 0.000 -.808749 -.2462372 | _cons | .1333098 .0499969 2.67 0.010 .032729 .2338907 ------------------------------------------------------------------------------
Many thanks!
Regards,
Min
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