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ARDL: Stata module to perform autoregressive distributed lag model estimation

Sebastian Kripfganz and Daniel C. Schneider ()
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Daniel C. Schneider: Max Planck Institute for Demographic Research

Statistical Software Components from Boston College Department of Economics

Abstract: ardl fits a linear regression model with lags of the dependent variable and the independent variables as additional regressors. Information criteria are used to find the optimal lag lengths if those are not pre-specified as an option. The estimation output is delivered either in levels form or in equilibrium correction form. The Pesaran, Shin, and Smith (2001) bounds testing procedure for the existence of a levels relationship is implemented as a postestimation command. Corresponding critical values as well as approximate p-values are available for any sample size, number of regressors, and lag combination.

Language: Stata
Requires: Stata version 11.2
Keywords: autoregressive; distributed lag; AR; DL; ARDL (search for similar items in EconPapers)
Date: 2018-09-12, Revised 2023-02-12
Note: This module should be installed from within Stata by typing "ssc install ardl". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.
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