When using autoregressive distributed lag models (ARDL), I usually get a counter-intuitive result for the selected lag.

For example, when examining the relationship between GDP and Foreign Direct Investment (FDI), I don't get consistency in the sign.

What does this really mean? Does this mean that I have a wrong model specification although lags are determined according to information criteria (using a quarterly frequency) or what? There is no serial correlation and the model passed the CUSUM test and CUSUM square test. This indicates stability in the estimation.

I want to add that I did not use the log of FDI flows as there are negative values in the time series.

Below is a snapshot of the estimation results.

variable    Coefficient Std. Error  t-Statistic     Prob.*  
LOGGDP     20945.17     31683.81    0.661068        0.5107
LOGGDP(-1)  -74547.39   39648.45    -1.880210       0.0641
LOGGDP(-2)  89724.73    33119.12    2.709152        0.0084
LOGGDP(-3)  -12340.11   35873.61    -0.343989       0.7319
LOGGDP(-4)  -55895.03   32666.16    -1.711099       0.0914
LOGGDP(-5)  50435.01    21241.29    2.374385        0.0202

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