EconPapers    
Economics at your fingertips  
 

ardl: Estimating autoregressive distributed lag and equilibrium correction models

Sebastian Kripfganz and Daniel C. Schneider

No 18, TUPD Discussion Papers from Graduate School of Economics and Management, Tohoku University

Abstract: We present a Stata package for the estimation of autoregressive distributed lag (ARDL) models in a time-series context. The ardl command can be used to estimate an ARDL model with the optimal number of autoregressive and distributed lags based on the Akaike or Schwarz/Bayesian information cri- terion. The regression results can be displayed in the ARDL levels form or in the error-correction representation of the model. The latter separates long-run and short-run effects and is available in two different parameterizations of the long-run (cointegrating) relationship. The popular bounds testing procedure for the existence of a long-run levels relationship is implemented as a postestimation feature. Comprehensive critical values and approximate p-values obtained from response-surface regressions facilitate statistical inference.

Pages: 33 pages
Date: 2022-04
New Economics Papers: this item is included in nep-ets
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10097/00135205

Related works:
Working Paper: ardl: Estimating autoregressive distributed lag and equilibrium correction models (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:toh:tupdaa:18

Access Statistics for this paper

More papers in TUPD Discussion Papers from Graduate School of Economics and Management, Tohoku University Contact information at EDIRC.
Bibliographic data for series maintained by Tohoku University Library ().

 
Page updated 2022-11-05
Handle: RePEc:toh:tupdaa:18