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Modeling Nonlinear Autoregressive Distributed Lag Models: A New Approach
Journal of Quantitative Economics, 2005It is a common practice in econometrics that estimation is carried out in terms of the reduced form parameters and the structural form parameters are retrieved using the functional relationship between structural form parameters and the reduced form parameters. The reduced form of many useful economic models is a nonlinear distributed lag model (NLADL)
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Determinants of Inflation in Ethiopia: An Autoregressive Distributed Lag Model.
SSRN Electronic Journal, 2020Price stability is one of the major goals of monetary policy and the key indicators of macroeconomic stability. Pursuing of price stability is primary to long-run growth and development; it should be the concern of every economy. This study examine the factors in determining inflation in Ethiopia, using the autoregressive distributed lag (ARDL) model ...
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Autoregressive Distributed Lag Model of COVID-19 Infected Cases and Deaths
Journal of Statistics Applications & Probability, 2021The primary objectives of the present study are to investigate the short- and long-term cointegration relationships between the cumulative number of new cases of COVID-19 infections (X) and the cumulative numbers of deaths due to COVID-19 (Y), to investigate the long-run equilibrium relationship between these variables using an autoregressive ...
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An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis
2012This paper examines the use of autoregressive distributed lag (ARDL) models for the analysis of long-run relations when the underlying variables are I(1). It shows that after appropriate augmentation of the order of the ARDL model, the OLS estimators of the short-run parameters are p T -consistent with the asymptotically singular covariance matrix, and
M. Hashem Pesaran, Yongcheol Shin
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Palm oil price forecasting model: An autoregressive distributed lag (ARDL) approach
AIP Conference Proceedings, 2017Palm oil price fluctuated without any clear trend or cyclical pattern in the last few decades. The instability of food commodities price causes it to change rapidly over time. This paper attempts to develop Autoregressive Distributed Lag (ARDL) model in modeling and forecasting the price of palm oil.
Mohd Fahmi Abdul Hamid, Ani Shabri
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The long memory autoregressive distributed lag model and its application on Congressional approval [PDF]
Electoral Studies, 2010 This paper considers the instrumental variables (IV) estimation of the autoregressive distributed lag (ADL) model consisting of fractionally integrated regressors and errors, while allowing for part of the regressors to be endogenous. The idea of Liviatan (1963) and that of Tsay (2007) are combined to construct consistent and asymptotically normally ...
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A revival of the autoregressive distributed lag model in estimating energy demand relationships
Energy, 2001Abstract The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distributed lag (ARDL) model in estimating energy demand relationships.
Bentzen, Jan Børsen, Engsted, Tom
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Fuzzy Autoregressive Distributed Lag model-based forecasting
Fuzzy Sets and Systems, 2023openaire +1 more source
Indian Fiscal Deficit in Autoregressive Distributed Lag (ARDL) Model
Advancement in Management and TechnologyIn this paper the author showed the trends of fiscal deficit and examined the short run and the long run nexus between fiscal deficit and gross domestic product per capita, inflation rate (CPI), external debt (% of GDP), unemployment rate (% of labour force), income inequality (income share difference between top 10% and bottom 50%), and military ...
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The Annals of Regional Science, 2006
A spatial generalization of the (well-known special case from times series) Autoregressively Distributed lag model is defined. Equivalent forms—a Spatial Error Correction model, a Spatial Bewley model, and a Spatial Baardsen model—are considered. As none of these are consistently estimated by Ordinary Least Squares, an Instrument Variable estimation ...
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A spatial generalization of the (well-known special case from times series) Autoregressively Distributed lag model is defined. Equivalent forms—a Spatial Error Correction model, a Spatial Bewley model, and a Spatial Baardsen model—are considered. As none of these are consistently estimated by Ordinary Least Squares, an Instrument Variable estimation ...
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