Bootstrapping the autoregressive distributed lag test for cointegration
Abstract
We propose a bootstrap autoregressive-distributed lag (ARDL) test. By applying the appropriate bootstrap method, some weaknesses underlying the Pesaran, Shin and Smith ARDL bounds test are addressed including size and power properties and the elimination of inconclusive inferences. In addition, inferences based solely on the significance of the F-test and single t-test from the ARDL bounds test are not sufficient to avoid degenerate cases. The bootstrap ARDL test provides an additional test on the significance of coefficients on lagged levels of the regressors, which provides a better insight into the cointegration status of the model.
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The adoption of this rigorous econometric methodology ensures the validity and reliability of the findings.
“The adoption of this rigorous econometric methodology ensures the validity and reliability of the findings, providing valuable empirical evidence to inform economic policy decisions, investment strategies, and academic discourse in the field of finance and economics [45].”
From Dynamics of economic growth in ASEAN-5 countries: a panel ARDL approach (2024) · cites this paper as [45]
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Dynamics of economic growth in ASEAN-5 countries: a panel ARDL approach
Hidthiir, M. H. B., Ahmad, Z., Junoh, M. Z. M., & Yusof, M. F. B. (2024) · Discover Sustainability · doi:10.1007/s43621-024-00351-x · Cited by 27 · see citing works
- Authors
- McNown, R., Sam, C. Y., & Goh, S. K.
- Affiliations
- University of Colorado Boulder (US)
- Universiti Sains Malaysia (MY)
- Corresponding author
- Goh, Soo Khoon
- Venue
- Applied Economics
- Publisher
- Informa UK Limited
- Published
- 2017-08-21
- Volume
- 50
- Issue
- 13
- Pages
- 1509-1521
- ISSN
- 0003-6846 (ISSN-L)
- 1466-4283
- OpenAlex
- W2749968191
- Cited by
- 624
- References
- 27
- Citations by year
- 2026: 115 · 2025: 82 · 2024: 115 · 2023: 114 · 2022: 94 · 2021: 52 · 2020: 32 · 2019: 10 · 2018: 8 · 2017: 2
- FWCI
- 33.41
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Applied Economics (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Funders
- Kementerian Pendidikan Tinggi Malaysia (Fundamental Research Grant Scheme (FRGS) 203/CDASA)
- Topics
- Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Diverse Scientific and Economic Studies
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
- Keywords
- bootstrapping, cointegration, ARDL model, unit root tests
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