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I have estimated ARDL(UECM) in eviews but I dont know how to specify or extract the long run an short run estimates/coefficienst? what is the standard procedure to do so?

Richard Hardy
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Ramu Kaka
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  • AUTOBOX has a feature where the ADL model ( a very specific transfer Function model) is estimated and the program converts the estimated parameters to the Error Corection Model (ECM) . The long run , short run and multiplier statistics are reported. – IrishStat Jun 10 '15 at 22:36
  • With EViews 9, this is straightforward. First, estimate the model using the `ardl` command. Then click `View`, `Coefficient Diagnostics`, and `Cointegration and Long Run Form`. That's all there is to it. Here is a video explanation from the EViews website: http://www.eviews.com/EViews9/ev9ecest_n.html#ardl – Graeme Walsh Feb 06 '16 at 15:01

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http://davegiles.blogspot.ca/2013/06/ardl-models-part-ii-bounds-tests.html see in the above link for a detail discussion. Its very useful.

SHIBANANDA NAYAK
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You can extract long run coefficients in EViews. For instance, I have estimated the following equation in EViews:

c(1) + c(2)d(savings) + c(3)d(savings(-1)) + c(4)d(income) +  c(5)d(income(-1)) + c(6)savings(-1) + c(7)income(-1)

where savings is dependent and income is independent. Long run coefficient of income can be calculated using Wald F statistic by inserting following equation in Wald F dialogue box: $$c(7)/c(6) = 0$$ It will provide statistic value along with standard error and t-values.

Sven Hohenstein
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Arslan Khalid
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