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Sy07
Calcite | Level 5 Sy07
Calcite | Level 5

ARDL model

Posted 04-16-2019 08:06 AM (2930 views)

Hi every one 

I have a question about how i can test bound test cointegration and estimate an ARDL(AutoRegressive disributed lag )model in sas.

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PeterClemmensen
Tourmaline | Level 20 PeterClemmensen
Tourmaline | Level 20

Re: ARDL model

Posted 04-16-2019 08:26 AM (2919 views)  |   In reply to Sy07

Hi and welcome to the SAS Communities 🙂

 

Do you have some code written?

 

Otherwise check out the PDLREG Procedure. That might help you.

The DATA to DATA Step Macro
Blog: SASnrd
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Sy07
Calcite | Level 5 Sy07
Calcite | Level 5

Re: ARDL model

Posted 04-16-2019 09:07 AM (2900 views)  |   In reply to PeterClemmensen

Hi draycut

If we consider

Yt=b0 +b1Xt+b2zt+b3Rt +b4Ct+et 

and we have Xt~I(0) Rt~I(1) and Zt~I(1) and Ct~I(0)

How i can test if this variables are cointegred or not? 

I didn't find a way to test if they are cointegred or not using The PDLREG Procedure.

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  • 2 replies
  • ‎04-16-2019 08:06 AM
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