*! version 1.0.6 06feb2023

Title

ardl legacy -- legacy, out-of-date options and behavior of commands included in the ardl package

List of legacy entries

ardl
estat btest

Abbreviations and definitions used in this help entry

See the abbreviations section of ardl.

ardl

Legacy options

Syntax I
minlag1 like option ec1, but in addition requires at least one lag for indepvars

btest display Pesaran/Shin/Smith (2001) bounds test

Description

This help section lists options from former versions of the ardl command that
have been superseded by other commands or options but that continue to work for
backward compatibility reasons.

Legacy option detail

minlag1 will only consider models where indepvars have at least one lag, i.e.
the optimal lag selection iterations will skip models where one or more of these variables have a lag length of zero.
An implication of this is that you may not use option minlag1 in conjunction with a lag
specification in option lags that sets the lag order of any variable to zero.

If in addition option ec is specified, the error-correction output of the long-run regressors
(other than the dependent variable) are expressed in terms of time t-1.
Without usage of option minlag1, the default of option ec is to write them in terms of time t.

btest displays the F- and t-statistics in relation to the long-run relationship,
and displays critical values for these statistics tabulated in PSS.
Superseded by estat btest, which in turn has been superseded by
estat ectest.

Saved results

ardl saves the following as historical results in e().
These items can be listed using the all option of return list.

Matrices

if option ec or ec1 was used:

e(F_critval) PSS/Narayan critical values, F-statistic, bounds test for case casenum

e(t_critval) PSS/Narayan critical values, t-statistic, bounds test for case casenum

estat btest

legacy routine estat btest -- legacy, out-of-date postestimation command for ardl to perform the
bounds testing procedure for a levels relationship. It has been superseded by estat ectest.

Syntax for estat btest

estat btest , [ n[(nobs)] ]

Description for estat btest

estat btest implements the bounds test for a levels relationship proposed by PSS.
The F-statistic and the t-statistic, which are dependent on the specification of the model deterministics,
are displayed along with critical values of the associated non-standard distributions provided by PSS (large sample critical values) and NAR (small sample critical values).

You must use one of the options ec or ec1 in your ardl model for bounds test-related statistics to be available.

The t-statistic is only available for PSS tables.

To avoid pretesting problems, PSS suggest to apply the bounds test only to ARDL models without restrictions on the short-run coefficients (i.e. with a sufficiently high and common lag order for the regressors).
However, estat btest displays the F-statistic and t-statistic as well as the relevant critical values for any model specification.

Options for estat btest

n[(nobs)] determines whether small sample critical values should be tabulated.
Argument nobs is optional.
If it is not specified, estat btest uses the sample size from the estimation results in memory.
Available sample size tabulations range from 30 to 80 with increments of 5.
If nobs does not exactly match one of these numbers, ardl btest picks the one that is closest.

If n or n(nobs) is not specified, or if nobs is larger or equal than 83, large sample critical values are displayed.

Saved results of estat btest

estat btest stores the following results for the PSS bounds test in r():

Scalars

r(case) casenum for model deterministics

r(F_pss) F-statistic, calculated according to casenum

r(t_pss) t-statistic, calculated according to casenum

Matrices

r(F_critval) critical values, F-statistic, PSS bounds test for casenum

r(t_critval) critical values, t-statistic, PSS bounds test for casenum