Hi everyone,
I'm using xtpmg to run an ardl model on panel data using the pooled mean group estimator. dependent variable: y independent variables x1 and x2
the code line i'm using is similar to a one published in paper which uses ardl(1,1,1)
xtpmg D.y D.x1 D.x2, ec(ec) lr(L.y x1 x2) replace pmg
I'm confused on what would be the appropriate xtpmg specification for different lag orders. using the example above if i want to try ardl(2,0,1) what would be the appropriate code line:
xtpmg D2.y x1 D.x2, ec(ec) lr(L.y x1 x2) replace pmg
Or
xtpmg D(1/2) x1 D.x2, ec(ec) lr(L.y x1 x2) replace pmg
Or
something completely different?
Also, does the lag structure affect the long run lr () specification at all?
If anybody can help or refer me to a paper or guidelines that touches on this, i'd really appreciate it. Thank you
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