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Autoregressive distributed lag models and cointegration [PDF]

Allgemeines Statistisches Archiv, 2006
This paper considers cointegration analysis within an autoregressive distributed lag (ADL) framework. First, different reparameterizations and interpretations are reviewed.
Hassler, Uwe, Wolters, Jürgen
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Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns [PDF]

Oxford Bulletin of Economics and Statistics, 2013
This article studies quantile regression in an autoregressive dynamic framework with exogenous stationary covariates. We demonstrate the potential of the quantile autoregressive distributed lag model with an application to house price returns in the ...
Andrews, Banks, Beaudry, Bofinger, Campbell, Capozza, Engle, Galvao, Galvao, Gourieroux, Koenker, Koenker, Koenker, Koenker, Machado, Mankiew, Muellbauer, Neocleous, Ortalo-Magné, Ortalo-Magné, Poterba, Powell, Rosenthal, Xiao, Xiao   +24 more
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Recent developments of the autoregressive distributed lag modelling framework [PDF]

Journal of Economic Surveys, 2021
AbstractWe review the literature on the autoregressive distributed lag (ARDL) model, from its origins in the analysis of autocorrelated trend stationary processes to its subsequent applications in the analysis of cointegrated non‐stationary time series.
Jin Seo Cho, Matthew Greenwood‐Nimmo, Yongcheol Shin   +2 more
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Indonesian Export Analysis: Autoregressive Distributed Lag (ARDL) Model Approach [PDF]

Journal of Economics, Business, & Accountancy Ventura, 2021
There are some factors predicted tohave an effect on the countries’ economic devlopment. This study aimed to analyze the long-term and short-term effects of In-flation, Exchange Rate, and Foreign Economic Growth (the destination of the United States, China, and Japan) on the Indonesian Export.
Syarifah Labibah, Abd. Jamal, Taufiq C. Dawood   +2 more
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Exact tests in single equation autoregressive distributed lag models [PDF]

Journal of Econometrics, 1997
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kiviet, J.F., Dufour, J-M.
openaire   +5 more sources

Exact Inference Methods for First-Order Autoregressive Distributed Lag Models [PDF]

Econometrica, 1998
Summary: Methods are proposed to build exact tests and confidence sets in the linear first-order autoregressive distributed lag model with i.i.d. disturbances. For general linear hypotheses on the regression coefficients, inference procedures are obtained which have known level.
Dufour, J.M., Kiviet, J.F.
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ardl: Estimating autoregressive distributed lag and equilibrium correction models

The Stata Journal: Promoting communications on statistics and Stata, 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 or Bayesian (Schwarz) information criterion.
Kripfganz, S, Schneider, DC
openaire   +2 more sources

Inflation forecasting using autoregressive distributed lag (ARDL) models

Jurnal Ekonomi & Studi Pembangunan, 2023
This study attempts to evaluate and compare the inflation-predicting performance of several ARDL models. Since there was no cointegration, the ARDL model does not employ an error correction term. Subsequently, model development showed that ARDL(2,2) should be used.
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UV Index Modeling by Autoregressive Distributed Lag (ADL Model)

Atmospheric and Climate Sciences, 2014
The objective of this work is to model statistically the ultraviolet radiation index (UV Index) to make forecast (extrapolate) and analyze trends. The task is relevant, due to increased UV flux and high rate of cases non-melanoma skin cancer in northeast of Brazil.
Alexandre Boleira Lopo, Maria Helena Constantino Spyrides, Paulo Sérgio Lucio, Javier Sigró   +3 more
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Beef Supply Response Under Uncertainty: An Autoregressive Distributed Lag Model

Journal of Agricultural and Resource Economics, 2003
This is the first econometric study of dynamic beef supply response to incorporate risk aversion or, more specifically, price variance. Autoregressive distributed lag (ADL) models are estimated for cow-calf and feedlot operations using aggregate data for Alberta. In all cases, output price variance has a negative impact on output supply and investment.
Mbaga, Msafiri Daudi, Coyle, Barry T., Mbaga, Msafiri Daudi, Coyle, Barry T.   +3 more
openaire   +3 more sources