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st: Creating IRF, OIRF and FEVD for ARDL models
From
Jaya Jha <[email protected]>
To
statalist <[email protected]>
Subject
st: Creating IRF, OIRF and FEVD for ARDL models
Date
Tue, 26 Nov 2013 13:54:16 -0600
Hello statalist users,
I wish to look at the short-run and long-run dynamics of my system
after using the ARDL Bounds testing framework suggested by Pesaran et
al (2001).
Here is an example: After residual diagnostics, I select the following
unconstrained ECM:\
reg D.q L.q L.gdp L.rer D.gdp D.rer
L(2/4)D.q L4D.gdp L(2/4)D.rer
where q is exports; gdp is GDP, and rer is real exchange rate; L
indicates lagged values, and D indicates order of difference.
Can you please show me how I may proceed with IRFs and other
post-estimation analysis?
I would greatly appreciate any help in this matter.
Thanks,
Jaya Jha
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