re: st: how to make ARDL regression in Stata

[Christopher Baum <kit.baum@bc.edu>]

<>
I have been trying to make an ARDL regression of the form
y = b0 + b1*y(-1) + b2*(y-2) + b3*x + b4*x(-1) + b5*x(-2) + e
where b's are coefficients and brackets denote lags
How can I estimate such models in stata.


. webuse lutkepohl
(Quarterly SA West German macro data, Bil DM, from Lutkepohl 1993 Table E.1)

. reg consumption L(1/2).consumption L(0/2).income




Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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