(The previous postestimation command estat btest is now obsolete but previous do-files continue to work!) The response surface methodology is explained in detail in a manuscript available on my website (see the references below) that also documents the regression results used to predict the critical values and the p-values. Both finite-sample and asymptotic critical values / p-values are available. In addition, the command now produces approximate p-values that allow for an easy test decision given a desired significance level.
These critical values have been obtained with response surface regressions based on large-scale simulations and they are available for any sample size and any number of regressors, and they also properly account for the number of short-run coefficients in the model. Instead of the Pesaran, Shin, and Smith (2001) near-asymptotic critical values and the Narayan finite-sample critical values, the new command now displays our more precise Kripfganz and Schneider (2018) critical values. The bounds test is now performed by the new postestimation command estat ectest. adoupdate ardl, updateThe most important change concerns the Pesaran, Shin, and Smith (2001) bounds testing procedure.
0 kommentar(er)
