This software will be the best use, if you want to apply ARDL model for cointegration. The use of Eviews and R do have few limitations. Doing ARDL from e-views requires the version higher than 9 which still skips variables having I(0) values. I found Microfit 5.5 very handy to apply for ARDL model. It also gives the details of bound test for each model you run in the software. More importantly, it is free.
About the Software
Microfit 5.5 is an interactive, menu-driven program with a host of facilities for estimation, hypothesis testing, forecasting, data processing, file management, and graphic display. These features make Microfit 5.5 one of the most powerful menu-driven time-series econometric packages currently available. It is a major advance over Microfit 4 and offers a unique built-in interactive, searchable econometric text. It provides users with technical, functional and tutorial help throughout the package. Another key feature is that it can be used at different levels of technical sophistication.
For experienced users of econometric programmes, it offers a variety of univariate methods, multivariate techniques for cointegration, principal components, canonical correlations and multivariate volatility modelling, and provides a large number of diagnostic and non-nested tests not readily available in other packages. The interaction of excellent graphics and estimation capabilities in Microfit 5.5 allows important econometric research to be carried out in a matter of days rather than weeks.
Latest version of Microfit 5.5: September 3, 2018.
Main Features
- Can run regressions using up to 102 regressors and allows 5,000,000 observation data points
- Much enhanced graphic module allows numerous graph types and an unrestricted number of plots per screen
- Time series dimension of observations can be adjusted dynamically
- Allows Excel files to be imported and exported
- Additional root unit tests such as Phillips-Perron, ADF-GLS, ADF-WS, and ADF-MAX
- Analysis of cointegrating models, with and without weakly exogenous variables (VARX and VECMX models), essential for modelling of small open economies
- Forecasting, impulse response analysis, persistence profiles and error variance decomposition for VARX models
- Principal components and canonical correlation analysis
- Nonparametric density estimation (Gaussian and Epanechnikov kernels with Silverman rule of thumb and least squares cross-validation band widths)
- Bootstrapped critical values for tests of over-identifying restrictions and cointegrated models
- Multivariate GARCH models, allowing estimation with Gaussian and multivariate t-distributed shocks
- Small sample simulation of the critical values of unit root and cointegration tests
- Bootstrapped error bounds for impulse responses, persistence profiles, and error variance decompositions for VAR, VARX, and cointegrated VAR and VARX options
- Most files created using Microfit 4.0 can be used in Microfit 5.5
- Enhanced help files now included within the software package
About the Authors
1. Dr Bahram Pesaran is currently a Research Consultant at Wadhwani Asset Management. He has also worked as a Research Analyst at Tudor Investment Corporation, The Bank of England, The National Institute of Economics and Social Research and The Confederation of British Industry.
2. Dr Hashem Pesaran is the John Elliot Distinguished Chair in Economics at the University of Southern California (USC), Emeritus Professor of Economics at the University of Cambridge, and a Fellow of Trinity College, Cambridge. He also holds the directorship of USC Dornsife Institute for New Economic Thinking, and the Centre for Applied Financial Economics at USC. Previously, he was head of the Economic Research Department of the Central Bank of Iran. He has also been a Professor of Economics and the Director of the Applied Econometrics Program at UCLA, and a Visiting Professor at the Institute of Advanced Studies in Vienna.
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