Dear all,
I am currently making use of the ardl command in stata, and had a few questions if you do not mind. While running the ardl command, I have used the "ec" representation (not the "ec1") as some of my variables have optimal q* = 0. Based on Kripfganz and Schneider (2023) the attached equation should be considered (Equation 6). This means that long run coefficients enter at time t and not t-1.
If I ignore the intercept and linear trend can I show that the deviations from equilibrium are (et-1 = yt-1 - θxt) or am I showing it as et instead of et-1 now? Please see attached the equation that the authors mention to be the one that is actually estimated on this case (Equation 7). I am now wondering three things. (1) how do I show it explicitly when presenting the two equations what exactly the error correction term (ECT) is in my case and also what subscript for it t or t-1? (2) as I show my short-run results together with the results from alpha (ADJ under the stata output) how should I name the variable that is associated with alpha, ECT(-1) or would it be different given that my long run coefficients enter the model at time t and not t-1? (3) the result I get under ADJ in the output is -0.85. how would I interpret this adjustment coefficient in my case?
Apologies for the long question, but would really appreciate any support.
Best,
Francisco.
I am currently making use of the ardl command in stata, and had a few questions if you do not mind. While running the ardl command, I have used the "ec" representation (not the "ec1") as some of my variables have optimal q* = 0. Based on Kripfganz and Schneider (2023) the attached equation should be considered (Equation 6). This means that long run coefficients enter at time t and not t-1.
If I ignore the intercept and linear trend can I show that the deviations from equilibrium are (et-1 = yt-1 - θxt) or am I showing it as et instead of et-1 now? Please see attached the equation that the authors mention to be the one that is actually estimated on this case (Equation 7). I am now wondering three things. (1) how do I show it explicitly when presenting the two equations what exactly the error correction term (ECT) is in my case and also what subscript for it t or t-1? (2) as I show my short-run results together with the results from alpha (ADJ under the stata output) how should I name the variable that is associated with alpha, ECT(-1) or would it be different given that my long run coefficients enter the model at time t and not t-1? (3) the result I get under ADJ in the output is -0.85. how would I interpret this adjustment coefficient in my case?
Apologies for the long question, but would really appreciate any support.
Best,
Francisco.
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