Results 231 to 240 of about 11,520 (267)
Adaptive LASSO estimation for ARDL models with GARCH innovations [PDF]
Econometric Reviews, 2015 In this paper we show the validity of the adaptive LASSO procedure in estimating stationary ARDL(p,q) models with GARCH innovations. We show that, given a set of initial weights, the adaptive Lasso selects the relevant variables with probability converging to one. Afterwards, we show that the estimator is oracle, meaning that its distribution converges
Medeiros, Marcelo C. +1 more
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ardl: Estimating autoregressive distributed lag and equilibrium correction models
The Stata Journal, 2023 We present a command, ardl, for the estimation of autoregressive distributed lag (ARDL) models in a time-series context. The ardl command can be used to fit an ARDL model with the optimal number of autoregressive and distributed lags based on the Akaike ...
Sebastian Kripfganz
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The demand for new housing in Turkey: an application of ARDL model [PDF]
Global Business and Economics Review, 2007 This study provides empirical estimates for new residential homes demand function in Turkey using the time series data for the period 1964–2004. An aggregate demand function for new private dwellings in Turkey is formed and is estimated using bounds testing cointegration procedure proposed by Pesaran et al.
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Modelling the Australian J-Curve: An ARDL Cointegration Approach
SSRN Electronic Journal, 2017This study tests for the existence of the J‐curve phenomenon in Australia using quarterly data over the period 1970–2016. The autoregressive distributed lag (ARDL) cointegration and error correction methodologies are used to examine the short‐run and long‐run impacts of the real effective exchange rate on Australia's trade balance.
Kris Ivanovski +2 more
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A nonlinear ARDL model of inflation dynamics in the Philippine economy
Journal of Asian Economics, 2021Abstract This study investigated whether global oil price changes, exchange rate, interest rate, and economic output exert symmetric or asymmetric pass-through effects on inflation in the Philippines. A Nonlinear Autoregressive Distributed Lag (NARDL) model was fitted to the observable data using quarterly observations from 1998 to 2019. Knowledge of
Roperto S. Deluna +2 more
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Testing financial liberalization hypothesis with ARDL modelling approach
Applied Financial Economics, 2007It is a stylised fact that financial ‘repression’ retards economic growth. Hence, financial liberalization is advocated to remove the stranglehold on the economy. Financial liberalization policy argues that deregulation of interest rate would result in a higher real interest rate which would lead to increased savings, increased investment and achieve ...
Shrestha, Min B, Chowdhury, Muhammad K
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ARDL Modeling Using R Software
Journal of Current Trends in Computer Science ResearchThe goal of this paper is helping to apply ARDL models using the R software. We will cover its benefits, show how to use the packages and will make interesting recommendations for estimating models ARDL using R. This paper presents the dynamac package for the statistical language R, demonstrating its main functionalities in a step by step guide.
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Euro interest rate swap yields: some ARDL models
Journal of Asset ManagementThis paper examines the dynamics of euro-denominated (EUR) long-term interest rate swap yields. It shows that the short-term interest rate has an economically and statistically significant effect on EUR swap yields of different maturity tenors, after controlling for various key macroeconomic variables.
Tanweer Akram, Khawaja Mamun
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AN ARDL MODEL OF AGGREGATE TOURISM DEMAND FOR TURKEY [PDF]
, 2005 This study empirically examines aggregate tourism demand function for Turkey using the time series data for the period 1960-2002. The total tourist arrivals into Turkey are related to world income, relative prices and transportation cost. We employ bounds testing cointegration procedure proposed by Pesaran et al.
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Constructing an Enhanced Unemployment Model in Canada, Using ARDL
Smart Journal of Business Management StudiesThe unemployment rate in Canada has been increasing from 2019 to 2023 and this high volatility of Canada’s unemployment rate has drawn researchers’ attention in recent times. Quarterly data from OECD Data, World Bank, IMF Data and DataStream, were collected from 1993 to 2023, to examine the factors affecting unemployment rate in Canada, using the Unit ...
Halimahton Borhan +4 more
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