PMG Panel ARDL with different number of lags
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- Опубліковано 3 жов 2024
- This video shows how to specify command in stata taking into account different number of lags for dependent and independent variables (for example, ARDL (2,3,3,3). Default XTPMG command only applicable for ARDL (1,1,1) in Stata. Enjoy my first video.
Thank you for your helpful video. This is the only video on UA-cam that explains the lag rules of xtpmg, it really helps me a lot. thank you so much
You're welcome!
EXACTLY, This is what i wanted, thanks a lot.
Glad I could help you
This is the exact video I required. Thank you so much.
Glad it was helpful!
To calculate multiple lags for a one variable can use this command
foreach i of varlist lux* {
forvalues j=1/6 {
gen lag`j'_`i'=l`j'.`i'
}
}
this is very nice!
Glad you like it!
Dude confused not only me but himself, according to jumping fort and backwards with what is lag2 and lag1, etc. The ARDL is 23333, but there is only 1 lag generatetd? Why the heck?
hi sir, Thanks so much for this video can you help me with it as I am facing some issues while running the pmg code it is giving many iterations and data concave. what should I do please help me
Thank you for the helpful video! I am currently using a panel dataset with 74 countries, from 1996 - 2020. I do not know how to do the optimal lag selection for each variable. If possible, could you please tell me how I can identify the optimal lags please.
I also need this
what if all iterations are not concave???
Please tell us how to determine optimal lag length
could we use direclty the comand in the help section without creating new variables ? the comand is : xtpmg d.c d(1/2).y d.pi, ec(ec) lr(l.c y pi) pmg replace,
for an ardl (1,2,1,1)
In pmg, i get too many iteration upto 100, then "hessian has become unstable or asymmetric" appears
why u generating lags by yourself (8:40 min).