Cointegration Testing and Dynamic Simulations of Autoregressive Distributed Lag Models [PDF]
The Stata Journal: Promoting communications on statistics and Stata, 2018 In this article, we introduce dynamac, a suite of commands designed to assist users in modeling and visualizing the effects of autoregressive distributed lag models and in testing for cointegration. We discuss the bounds cointegration test proposed by Pesaran, Shin, and Smith (2001, Journal of Applied Econometrics 16: 289–326), which we have adapted ...
Jordan, Soren, Philips, Andrew Q.
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Comparison the Error Rate of Autoregressive Distributed Lag (ARDL) and Vector Autoregressive (VAR) (Case Study: Forecast of Export Quantities in DIY) [PDF]
, 2018 Forecasting is estimating the size or number of something in the future. Regression model that enters current independent variable value, and lagged value is called distributed-lag model, if it enters one or more lagged value, it is called autoregressive.
Ningrum, D. K. (Dewi) +1 more
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Error-correction Mechanism Tests for Cointegration in a Single-equation Framework [PDF]
, 1998 A new test is proposed for cointegration in a single-equation framework where the regressors are weakly exogenous for the parameters of interest. The test is denoted as an error-correction mechanism (ECM) test and is based upon the ordinary least squares
Banerjee, Anindya +2 more
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Quantile autoregressive distributed lag model with an application to house price returns [PDF]
, 2009 This paper studies quantile regression in an autoregressive dynamic framework with exogenous stationary covariates. Hence, we develop a quantile autoregressive distributed lag model (QADL).
Galvao Jr, A. F. +2 more
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The Autoregressive Distributed Lag Model to Analyze Soybean Prices in Indonesia [PDF]
MATEC Web of Conferences, 2018 The main objective of this study was to observe factors that affecting domestic soybean prices, including government intervention through BULOG. By using Bound Testing Cointegration method with ARDL approach. In the short term the world soybean price variables in the t-period and exchange rate affect the domestic soybean prices positively and ...
Ekananda Mahjus, Suryanto T.
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Latent carbon emission pricing model for Thailand: A nonlinear autoregressive distributed lag model
Energy Reports, 2022 Nowadays, many scientific researchers confirm that carbon emissions cause global warming. Accurate carbon emission pricing is a direct economic measure of greenhouse gas emissions’ actual cost or price. However, Thailand currently does not have a carbon emission price from the formal mandatory carbon market.
Roengchai Tansuchat, Chia-Lin Chang
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The Declining Share of Agricultural Employment in the People\u27s Republic of China: How Fast? [PDF]
, 2014 From 1962 to 2013, the People’s Republic of China’s (PRC’s) agricultural employment share declined from 82% to 31%. The transfer of workers out of low-productivity agriculture is a fundamental pillar of the PRC’s aspirations to progress and eventually ...
Dacuycuy, Connie +2 more
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On time series modeling of Nigeria's external reserves [PDF]
, 2015 This paper proposes three short-term forecasting models for the adjusted external reserves using the seasonal autoregressive integrated moving average (SARIMA), seasonal autoregressive integrated moving average with an exogenous input (SARIMA-X) and an ...
Alade, Sarah O., Doguwa, Sani I.
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Productivity Determinants of Potato in Nigeria: An Autoregressive Distributed Lag Model Approach
Alanya Akademik Bakış, 2018 This study examined the productivity determinants of potato in Nigeria. The data for this study were extracted from secondary sources for a period of 1961-2016. The Autoregressive Distributed Lag (ARDL) model was adopted. The findings revealed that variables such as capital, land, fertilizer and prices were significant both in the long-run and short ...
Ndubuisi Chigozirim Onwusiribe +2 more
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DYNAMICS IN THE MACROECONOMY AND THE U.S. AGRICULTURAL TRADE BALANCE [PDF]
The effects of the exchange rate and the income and money supply of the United States and its major trading partners on the U.S. agricultural trade balance are examined using an autoregressive distributed lag (ARDL) model.
Baek, Jungho, Koo, Won W.
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