boundstest |

Perform the Pesaran, Shin and Smith (2001) bounds test of long-run relationships from an ARDL estimated equation.

This view displays a spool object with the ARDL bounds test diagnostics. The first table is a summary of the test along with statistic values. The second table summarizes the bound test critical values associated with the F-statistic. When appropriate (the deterministic case does not include a restricted constant (cases 3 and 5), a third table summarizes the bound test critical values associated with the t-statistic.

Syntax

eq_name.boundstest(options)

Options

p | Print output. |

Examples

wfopen http://www.stern.nyu.edu/~wgreene/Text/Edition7/TableF5-2.txt

equation eq02.ardl(deplags=3, reglags=3, fixed) log(realcons) log(realgdp) @ @expand(@quarter, @droplast)

show eq02.boundstest

This example uses data from Greene (2008, page 685), containing quarterly US macroeconomic variables between 1950 and 2000. The first line of this example downloads the data set, the second line creates an equation object and estimates an ARDL model with the log of real consumption as the dependent variable. Three lags of the dependent variable, and three lags of the log of real GDP are used as dynamic regressors. Quarterly dummy variables are included as static regressors.

The final line performs the Pesaran, Shin and Smith (2001) bounds test to test for a long-run relationship between the log of real consumption and the log of real GDP.

Cross-references

See
“ARDL and Quantile ARDL” for further discussion.