Additional Autoregressive Distributed Lag (ARDL) Tools

Autoregressive Distributed Lag (ARDL) estimation has been drastically improved for EViews 10. In particular, EViews now allows absolute control over lag specification.


Any of the variables (dependent or regressor) can be specified with a custom lag, and you can mix the specification allowing certain variable to have fixed custom lags and the remainder having their lags chosen via model selection methods.


Moreover, in the context of the ARDL approach to the Bounds Cointegration Test of Pesaran Shin and Smith (2001) (PSS), EViews now offers inference under all 5 deterministic cases considered in PSS. Also, alongside the asymptotic critical values provided in PSS, EViews now offers finite sample critical values from Narayan (2005)


Finally, in addition to the Bounds F-test, Eviews now also reports the appropriate Banerjee, Dolado, Mestre (1998) (BDM) t-bounds test.



ARDL Improvements