Hi all. Please how to treat heteroskedasticity and Autocorrelation in GDP after running Panel ARDL pmg
After determining the optimal lags and performed the Hausman test., i run this syntax:
xtpmg d.FDIREI d.REO d.GDP, lr(l.FDIREI REO GDP) ec(ECT) replace pmg
Pooled Mean Group Regression
(Estimate results saved as pmg)
Panel Variable (i): ID Number of obs = 594
Time Variable (t): Year Number of groups = 33
Obs per group: min = 18
avg = 18.0
max = 18
Log Likelihood = -3281.471
------------------------------------------------------------------------------
D.FDIREI | Coefficient Std. err. z P>|z| [95% conf. interval]
-------------+----------------------------------------------------------------
ECT |
REO | .0216125 .0037366 5.78 0.000 .0142889 .0289361
GDP | -.8550642 .2938029 -2.91 0.004 -1.430907 -.2792211
-------------+----------------------------------------------------------------
SR |
ECT | -1.071479 .147786 -7.25 0.000 -1.361134 -.7818239
|
REO |
D1. | .0413745 .3407124 0.12 0.903 -.6264095 .7091584
|
GDP |
D1. | -5.915913 5.516867 -1.07 0.284 -16.72877 4.896947
|
_cons | 15.5448 24.49003 0.63 0.526 -32.45479 63.54438
Then i run xthrtest:
. xthrtest Lag_FDIREI REO GDP, force
Heteroskedasticity-robust Born and Breitung (2016) HR-test on Lag_FDIREI REO GDP
Panelvar: ID
Timevar: Year
--------------------------------------------------------------------------------------+
Variable | HR-stat p-value | N maxT | balance? |
------------------------------+-----------------------+----------------+--------------|
Lag_FDIREI + 0.38 0.708 + 33 18 + balanced |
REO + -1.77 0.077 + 33 19 + balanced |
GDP + 2.31 0.021 + 33 19 + balanced |
--------------------------------------------------------------------------------------+
Notes: Under H0, HR ~ N(0,1)
H0: No first-order serial correlation.
Ha: Some first order serial correlation.
please how to treat heteroskedasticity and Autocorrelation in GDP after xtpmg panel ardl model
After determining the optimal lags and performed the Hausman test., i run this syntax:
xtpmg d.FDIREI d.REO d.GDP, lr(l.FDIREI REO GDP) ec(ECT) replace pmg
Pooled Mean Group Regression
(Estimate results saved as pmg)
Panel Variable (i): ID Number of obs = 594
Time Variable (t): Year Number of groups = 33
Obs per group: min = 18
avg = 18.0
max = 18
Log Likelihood = -3281.471
------------------------------------------------------------------------------
D.FDIREI | Coefficient Std. err. z P>|z| [95% conf. interval]
-------------+----------------------------------------------------------------
ECT |
REO | .0216125 .0037366 5.78 0.000 .0142889 .0289361
GDP | -.8550642 .2938029 -2.91 0.004 -1.430907 -.2792211
-------------+----------------------------------------------------------------
SR |
ECT | -1.071479 .147786 -7.25 0.000 -1.361134 -.7818239
|
REO |
D1. | .0413745 .3407124 0.12 0.903 -.6264095 .7091584
|
GDP |
D1. | -5.915913 5.516867 -1.07 0.284 -16.72877 4.896947
|
_cons | 15.5448 24.49003 0.63 0.526 -32.45479 63.54438
Then i run xthrtest:
. xthrtest Lag_FDIREI REO GDP, force
Heteroskedasticity-robust Born and Breitung (2016) HR-test on Lag_FDIREI REO GDP
Panelvar: ID
Timevar: Year
--------------------------------------------------------------------------------------+
Variable | HR-stat p-value | N maxT | balance? |
------------------------------+-----------------------+----------------+--------------|
Lag_FDIREI + 0.38 0.708 + 33 18 + balanced |
REO + -1.77 0.077 + 33 19 + balanced |
GDP + 2.31 0.021 + 33 19 + balanced |
--------------------------------------------------------------------------------------+
Notes: Under H0, HR ~ N(0,1)
H0: No first-order serial correlation.
Ha: Some first order serial correlation.
please how to treat heteroskedasticity and Autocorrelation in GDP after xtpmg panel ardl model
Comment