*! version 1.0.6 06feb2023

Title

ardl postestimation -- Postestimation tools for ardl

Description

The following postestimation commands are of special interest after ardl:

Command Description

estat ectest Pesaran/Shin/Smith (2001) bounds test for the existence of a level relationship

estat subcmd_reg all estat subcommands available after regress, except for estat moran; see the note below

estat subcmd_reg_ts all estat subcommands available after regress when run on a time series data set; see the note below

The following standard postestimation commands are also available:

Command Description

estat AIC/BIC, VCE, and estimation sample summary (estat
subcommands ic, vce, and summary, respectively).

estimates cataloging estimation results

lincom point estimates, standard errors, testing, and inference for linear combinations of coefficients

lrtest likelihood-ratio test

nlcom point estimates, standard errors, testing, and inference for nonlinear combinations of coefficients

predict generate fitted values, residuals, and error-correction term

test Wald tests of simple and composite linear hypotheses

testnl Wald tests of nonlinear hypotheses

Abbreviations and definitions used in this help entry

See the abbreviations section of ardl.

Syntax for estat ectest

estat ectest , [ siglevels(levellist) asymptotic
nocritval norule nodecision ]

Description for estat ectest

estat ectest implements the bounds test for a levels relationship proposed by
Pesaran, Shin, and Smith (2001),
where criticial values and approximate p-values for the F and t-statistics are obtained via the
response surface regressions results of Kripfganz and Schneider (2020).
See ardlbounds for more information on how the critical values are obtained.
Kripfganz and Schneider (2022, section 2.4) provide a discussion
and step-by-step guide for the bounds test.

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

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 ectest displays the F-statistic and t-statistic as well as the relevant critical values for any model specification.

Warning: The Kripfganz/Schneider critical values and p-values are obtained on the basis of the
methodology used as of the release date of command version 1.0.3 (June 2020)
and are still applicable as of the release date of this command version (1.0.6, February 2023).
Compared to version 1.0.2 (September 2018), version 1.0.3 introduces very slight changes in the
computed statistics.
Future versions of ardl may reflect further potential methodological refinements.
As a consequence, numbers may change slightly again.

Options for estat ectest

siglevels(numlist) shows CVs for levels in the siglevels numlist, which must have at least one element.
The default numlist is '10 5 1'. Levels are specified as percentiles but do allow for two digits after the decimal point.
There are 221 different levels among which you can choose, indicated by the Stata numlist

00.01 00.02 00.05 00.10(00.10)00.90 01.00(00.50)98.50 99.00(00.10)99.90 99.95 99.98 99.99

asymptotic requests that the sample size returned by ardl in e(N) be ignored, and
shows asymptotic CVs instead.

nocritval does not display the critical values table.

norule does not display the decision rule.

nodecision does not display the decision table.

Postestimation Commands Borrowed from regress

A large number of estat subcommands for regress can be used after ardl;
see here and here.
Importantly, the results obtained with some of them can
differ depending on whether the model is specified in levels form or in
first-difference / error-correction form (see the sections on terminology
and on long-run coefficients for a clarification of these terms).
For example, the estat ovtest includes higher-order powers
of the dependent variable – which is either y(t) or dy(t) – as regressors in an auxiliary regression.
This complication does not apply to postestimation commands based on
residuals – such as estat bgodfrey and estat imtest – because the error term e(t) is
unaffected by the model's reparameterization.

Syntax for predict

predict
[type]
newvar
[if] [in]
[,
statistic
]

statistic

xb fitted values; the default

residuals residuals

ec error-correction term

All statistics are available both in and out of sample; type predict ... if e(sample) if wanted only for the estimation sample.

Options for predict

Main

xb is the default prediction.
It calculates fitted values. When ardl was used with option ec or ec1,
the fitted values are computed for the first differences of the dependent variable. Otherwise, they are computed for the levels.

residuals calculates residuals.

ec calculates the error correction term.
For a precise description of what is being calculated, refer to the ardl help section
The error-correction term.

Saved results

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

Scalars
r(k) # of weakly exogenous model variables

r(case) model deterministics case used for tabulation

r(t_pss) value of the t-statistic for the bounds test

r(F_pss) value of the F-statistic for the bounds test

if option asymptotic was not used:

r(N) sample size used for tabulation

r(sr) # of short-run coefficients in the model

Macros
r(siglevels) levels of critical values tabulated

Matrices
r(cvmat) matrix of critical values and approximate p-values

r(decmat) matrix indicating the decision on the bounds test