(EViews10):Estimate Bounds Cointegration Test  

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What a bombastic lecture.... Clear my 1000 confusions regarding ARDL Bounds...

@CrunchEconomitrics I am from SIMAD University Somalia, now I'm doing my thesis and I must say Thank U very much you made me easy

Your classes have been very helpful. Thank you very much and well done.

Thanks very much. A very useful and practical tutorial. An excellent source of complementary learning

Honestly, you did a great job here

Godbless you prof!!! ❤❤❤❤

My journey in econometrics is becoming easier and enjoyable due to your tutorials; thanks again. Please may I know what steps need to be taken when the F-statistic is between the I(0) and I(1) bound?

That was very helpful to me, Thank you.

Excellent one. Very helpful

Good day Ma. Thanks for your teachings. They have been very helpful. Please my question is,can the bounds test for Cointegration be performed if you are not using the ARDL method?

thanks a lot prof

Hello Prof. Thank you for your very useful educational Videos. Using Eviews 10 for analyzing ARDL model, there are five trend specifications (1-None, 2-Rest. Cons., 3-Constant, 4- Rest. Trend, and 5- Const. and Trend). Is there a method to decide which one is the best fit to the model in ARDL?

Hello Professor, this video is very helpful. But In my Eviews 10, I don't have the option of Long run form and bound test in coefficient diagnostics

Good evening professor, please is the bounds test for each hypothesis?

Thank you ma….I have a question, so I did unit root test for my variables, they were all non-stationary at level but at first difference, two of the variables became stationary, I’m confused on the regression method to use….maybe Ardl or Ols I would really appreciate your response ma

Very well explained but I have a doubt. Out of 5 variables, two are coming out to be 'not-cointegrated' and the rest 3 are coming out to be cointegrated. In this case, which test should I apply?

Can I only use the test if the dependent variable is I (1)? I read this information in a paper. Excellent video.

Hello Prof. Please can you tell me what to do if all variables dependent and independent are I(1)?

Hello Doctor, hope you are doing well! I have 2 questions: 1)Why the Short run coefficients are always small than the Long run ARDL? 2) I want to make forecasts using the ARDL model and I know I will be using the short run model but do I need to add the error correction term as well?

Dear Prof, i have four variables: A, B, C, D. Variable A is I(0), variable B, C, D is I(1). That's means based on your guide I should use ARDL and NOT the Johansen test since the order is different right? Then I run the ARDL equation and do the bound test. equation A, F-stats higher than Upper bound > means there is cointegration so I need to do ECM. Equation B, also show cointegration and needed to do ECM. Equation C show no cointegration then I just run the ARDL short run model. When I finally do the equation D, the F-stats results between the lower and upper bound. Based on your tutorial that's mean the result is inconclusive. What should I do with the equation D? Should I leave it and only do the other 3 equation? or is there any alternatives?

Hello Professor, I am from the UK, currently doing my thesis and I must say you are a life saver! Thank you so much for all the videos, they have been really helpful! I had a question, all of my variables are stationary at I(1) apart from one variable (inflation) which is stationary at I(0). Do I still have to use estimate bounds test ? When I did so, I found cointegration and I am not sure If I should use VECM or ECM ?

Thanks for great explanation but i have one doubt, if no long run relation exists according to the bound test result, then what are the short run coefficients

thanks for you videos, but in all your videos you went through all details without explaining each table in Eviews results refere to what (short run, long run...etc).... we need to know which tables we have to use in our research papers ...i'm so much confused about that

More than excellent ..thank u professora this way is amazing now i absorb better

Thank you so much

Thanks very much ma... I tried using this method but return near singular matrix... Because the dataset is a panel data.. 5 by 5....cross section is 5 and the number of years also 5 years... At this junction, what's the best model to apply for this panel data ma and what can I do to run this data sourced.... Investigating the effects of credit risk management on banks performance.. Sample size of 5 banks within 2016 to 2020.... Thanks in anticipation of your kind considertion and subsequent guidance on this research work ma...

if the test is inconclusive i.e the f-stat falls between the I(o) and I(1) values. what method do we use for estimation and what would be our conclusion

I'm running an ardl model of n=30 and five variables . My Fstat comes out too big , more than 100, sometimes even 80. Is this normal can I go on and claim co integration ?

Thanks

Hey, which method of cointegration do I have to use if I'm using 4 variables and 3 were stationery at second difference, one was stationery in levels

respected, i have my model with mix cointegrationi(1) and i(0). i applied ARDL bound test but the result of lon run are positive but insignificant ,how can i interpret this long run ....tnx

Hello please i have a question. What should we do if the bound test is inconclusive ?

Good Videos indeed. I am working on time series data (aggregated data) with only 25 observations and I have learnt that for results to be reliable, at least I must work with 30 observations. Since it's not recommended to disaggregate time series data into quarterly or monthly frequency and I could not go back and get more data. How best can I deal with the situation and produce reliable results? I am working with an ARDL Model. Any help please.

Take my humble greetings professor 💜 can you explain in a short note that when to use restricted constant and when to use unrestricted constant?

Thanks for the insight. However, is it not necessary to transform the variables before the ARDL estimate?

Ma'am! F-Statistics value is 3.837083 do i reject null hypothesis? Superb Video

That is a really interesting stuff. What if I have a mix of variables that are I(0), I(1) and I(2). The similar co-integration technique may be used or there is some other test?

Hi, That was wonderful presentation. pLease what VERSION of Eviews did you use for this estimation. Is it: Single user full license or university Edition or commercial volume license or academic volume license? I have standalone EViews 11 version but I could not perform the bound test because the long run/bound test is not on menu bar after clicking on coefficient diagnostics. Thank you.

Thank you ma for the video. Regarding the decision rule for the bounds test, the F-statistic in your example is clearly lower than all the critical values so what if the F-statistic is greater than some values in the I(0)?

Hello professor, may I ask should i log my data before doing ardl? As I have 1 variable set of data's in which after log it, the data is insufficient, so can I just log other variables and just left this insufficient data's variable without logging it?

Thank you very much for the video. Its really helpful. I have a question. Some of my variables are I(2) other are I(1) and I(0). Can I still use this lmethod?

PLEASE HELP-ME. What does the Error Correction (LEVELS EQUATION) mean? Is this the long run? I really need some help.

Dear Prof. In Unit Root Test after choosing ADF there are 3 tests (Intercept, Trend, and None) for each unit root test (Level, 1st difference, or 2nd difference). how many of them should be significant to decide if a variable is stable at (Level, 1st difference, or 2nd difference).

Thank you for these useful videos. I have a doubt. Presently am doing a time series project. Is it necessary to make the time series data normally distributed before doing Johansen Cointegration. I tried to normalise the data by using log transformation, min-max method, z-score method, square root as well as cube root method but Jarque Bera test probability is still 0.00000, it is not improving in any way. What should I do to normalise the data? Please help. Thank you

Hello. I have read somewhere that ARDL bound test can only be used if the dependent variable is non stationary at level. Is this true?

Hi mam..can you please clarify about short run interpretation in ARDL model as I have taken 3 lags and I am getting the coefficients of all 3 lag values..which one to mention in while writing for my research paper?? Thanks in advance

Thanks for the video. I have few questions. How levels equation is related to Granger causality? Significance level in levels equation means what? Do signs of levels equation is a method to verify theoretical insight? Thank you very much.

Hello,Teacher.I want to ask you a question.Suppose some of the variables in an econometric model are not stationary at level.Even those are not stationary when those are transformed into logged values.But they are stationary at first difference. Which values should be used for co-integration test? Logged values of raw variables?or values after first difference? Should I use logged values of raw variables even if those are non-stationary?

Please we want NARDL estimation

Hi teacher. Let me ask a short urgent question. When I do bounds test F value shows 1% significant. But its absolute t stats is below the lower bound. Anyway I assume it has cointegration. So I proceed error correction form. When I check the result, No long run coefficients are significant at all. Then I change the regression method, OLS by means of extracting residual. Under this method most short run coefficients become significant which do not in the former model and also found different result for ect and long run coefficients. Here, my question is (1) what should I do if absolute t stats value against the result of F value. (2) can I use ARDL in both OLS method and ARDL method alternately. (OR) which method is better. Thanks a lot.

Dear Prof. Regarding ECM value, how many scenarios are possible. For Example is it possible to be greater than /1/? How to interpret them?

Thank you for the videos. but, I am having some confusion regarding to determine the max lags for independent and dependent variables. I want to know how to select the max lags for independent and dependent variables. There are 34 observations in my data. Can you explain to me regarding this matter.. Thank you maam.

Hello teacher, your instructional video is very clear and useful. I have a question now. My f statistic is very high, as high as 32. Is this normal? Can I continue?

I have 62 observations...should I take max lag 2? Or should I go with optimal lag selection with AIC as you have suggested in one of yours video

Madam, I got the F-statistic value of 4.0555973. At 1% level of significance, I(0) is 4.29 and I(1) is 5.61. Can I conclude that there is no cointegration (since F < I(0)).. However, this F-statistic value is higher than the critical values of I(0) at 10%, 5% and 2.5%. Is the conclusion of no cointegration alright? Please let me know.

What if after unit root test you get outcome 3. do ARDL but find that the ARDL is non parameterized so you go on and do Wald test and end up with OLS which is specific parsimonious equation, which method do i use to conduct cointegration from here(parsimonious equation)? bound test or johasen? kindly reply.

how to proceed if 4 out of 5 equations show cointegration but 1 is inconclusive? how to specify the one which is inconclusive and estimate in eviews?

If 3 individual series are stationary at level 2, level 2 and level 1... should we use bounds cointegration test ?

Im new to cointegration concept. Can i use this bound test for pannel data too? If not then which cointegrate test i can conduct for pannel data (combination of I(0) and I(1)?

in this video i became know how to run the model but what about panel data co integration? :) same way? or different from this ?

Could someone please help me find and download the dataset used in example? The given gdrive link in the video description is not working .Im unable to access dataset here. Urgent help needed. pls.

Ma what do i do when all my values are integrated in first order?