Recent Developments of the Autoregressive Distributed Lag Modelling Framework

Jin Seo Cho (), Matthew Greenwood-Nimmo and Yongcheol Shin
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Yongcheol Shin: University of York

No 2021rwp-186, Working papers from Yonsei University, Yonsei Economics Research Institute

Abstract: We 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. We then survey several recent extensions of the ARDL model, including asymmetric and nonlinear generalisations of the ARDL model, the quantile ARDL model, the pooled mean group dynamic panel data model and the spatio-temporal ARDL model.

Keywords: Autoregressive Distributed Lag (ARDL) Model; Asymmetry, Nonlinearity and Threshold Effects; Quantile Regression; Panel Data; Spatial Analysis (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 36pages
Date: 2021-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Journal Article: Recent developments of the autoregressive distributed lag modelling framework (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:yon:wpaper:2021rwp-186

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