Sebastian Kripfganz

Lecturer (assistant professor) in Economics,
University of Exeter Business School, Department of Economics
 
© Sebastian Kripfganz
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Research
Stata Programs
Description
ardl: Estimation of autoregressive distributed lag and equilibrium correction models
ardl fits a linear regression model with lags of the dependent variable and the independent variables as additional regressors. Information criteria are used to find the optimal lag lengths if those are not pre-specified as an option. The estimation output is delivered either in levels form or in equilibrium correction form. The Pesaran, Shin, and Smith (2001) bounds testing procedure for the existence of a levels relationship is implemented as a postestimation command. Corresponding critical values as well as approximate p-values are available for any sample size, number of regressors, and lag combination.
Installation & Help
To install a fresh version of this package, type the following in Stata's command window:
net install ardl, from(http://www.kripfganz.de/stata/)
To display the currently installed version of this package, type the following in Stata's command window:
which ardl
To update an existing version of this package, type the following in Stata's command window:
adoupdate ardl, update
To access the help files of this package after the installation, type the following in Stata's command window:
help ardl
help ardl postestimation
help ardlbounds
Accompanying Article
Kripfganz, S. and D. C. Schneider (2016). ardl: Stata module to estimate autoregressive distributed lag models. Presented July 29, 2016, at the Stata Conference, Chicago.
Authors
Sebastian Kripfganz
University of Exeter
Daniel C. Schneider
Max Planck Institute for Demographic Research
Latest Version
version 1.0.1 15mar2018
Questions & Answers
Discussion at Statalist

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