(Stata13): Panel ARDL Estimations (Steps 5 to 7)

This video tutorial covers steps 5 to 7. (5) Using the unrestricted model and an information criterion, decide the choice of lags for each unit/group per variable, then choose the most common lag for each variable to represent the lags for the model; (6) Perform Pedroni (1999, 2004) or Westerlund (2007) Cointegration tests. But, on the assumption of long-run homogeneity, this step can be skipped. Cointegration is ascertained from the statistical significance of the long-run coefficients. Essentially, cointegration (or more generally a long-run relationship) presents itself as the joint significance of the levels equation; and (7) Test the null hypothesis of homogeneity through a Hausman-type test, based on the comparison between the Mean Group (MG) and the Pooled Mean Group (PMG) estimators. Decision: Reject the null hypothesis if the prob-value is less than 0.05. Using Stata13, this video shows you how to estimate a panel ARDL model. The link to the Stata dofile is on my website. Endeavour to have a Google account for easy accessibility.

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