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Forecast GDP with Autoregressive Distributed Lag Model and Dynamic Factor Model
Proceedings of the 2021 1st International Conference on Control and Intelligent Robotics, 2021Several methods of time series forecast, including an ADL model, a parameric DFM, and a nonparametric DFM using PCA, were used to forecast US GDP in 2019 using time series data of quarterly US macroeconomic variables from the FRED database. Results were compared with each other and with the true value of GDP in 2019 to compare the models' predictive ...
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Determinants of Inflation in Ethiopia: Autoregressive Distributed Lag Model
Journal of Economic Research & Reviews, 2023Price 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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A Guide to Autoregressive Distributed Lag Models for Impulse Response Estimations*
Oxford Bulletin of Economics and Statistics, 2022We provide a guide to using autoregressive distributed lag models for impulse response estimations with an identified structural shock or an external instrument for the shock. We illustrate how specifications widely used in practice can lead to inconsistent and inefficient estimators.
Baek, ChaeWon, Lee, Byoungchan
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Quantile cointegration in the autoregressive distributed-lag modeling framework
Journal of Econometrics, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cho, Jin Seo +2 more
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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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Likelihood-based quantile autoregressive distributed lag models and its applications
Journal of Applied Statistics, 2019Time lag effect exists widely in the course of economic operation. Some economic variables are affected not only by various factors in the current period but also by various factors in the past and even their own past values. As a class of dynamical models, autoregressive distributed lag (ARDL) models are frequently used to conduct dynamic regression ...
Yuzhu, Tian +4 more
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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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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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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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