Nonlinear ARDL using Eviews or NARDL using Eviews

This simple video tutorial on Nonlinear ARDL using Eviews or NARDL using Eviews is dedicated to Hassan Hanif who originally wrote an article on NARDL using Eviews on his blog. The key steps in estimating an Nonlinear ARDL using Eviews or NARDL using Eviews is given below:

Note: UUU should be replaced with parenthesis starting and VVV be replaced with parenthesis closure. Greater than sign should be replaced YYY

1. Test each of the variable is not unit root in second difference.
2. Make the CUSUM of your explanatory variables.
3. Make the differences of these CUSUM and dependent variables.
4. Estimate a Stepwise Least Square Regression model.
5. Test for cointegration using the Wald restrictions and testing it with Pesaran et al. UUU2001VVV critical values.
6. Determine the asymmetric causality from the NARDL

We hope this video tutorial will further simplify and save your time to run Nonlinear ARDL using Eviews or NARDL using Eviews.

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The codes you might need to create differences and CUSUMs in Eviews and STEPLS, are here:
genr ddebt=debt-debtUUU-1VVV
genr dgfc = gfc-gfcUUU-1VVV
genr pos = dgfc YYY=0
genr dgfc_p = pos*dgfc
genr dgfc_n = UUU1-posVVV*dgfc
genr gfc_p = @cumsumUUUdgfc_pVVV
genr gfc_n = @cumsumUUUdgfc_nVVV

dUUUdebtVVV c debtUUU-1VVV gfc_pUUU-1VVV gfc_nUUU-1VVV
ddebtUUU-1 to -4VVV dgfc_pUUU-0 to -4VVV dgfc_nUUU-0 to -4VVV

Enjoy Nonlinear ARDL using Eviews or NARDL using Eviews.