The DOI matches its Crossref record; 53 of the 53 references it cites were found in a registry or an index.
ardl: Estimating autoregressive distributed lag and equilibrium correction models
Open accessAbstract
We present a command, ardl, for the estimation of autoregressive distributed lag (ARDL) models in a time-series context. The ardl command can be used to fit an ARDL model with the optimal number of autoregressive and distributed lags based on the Akaike or Bayesian (Schwarz) information criterion. 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.
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Cites
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Pesaran, M. H., Shin, Y., & Smith, R. J. (2001) · Journal of Applied Econometrics · doi:10.1002/jae.616 · Cited by 20,385
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis
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Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
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Cited by
Kripfganz, S., & Schneider, D. C. (2020) · Oxford Bulletin of Economics and Statistics · doi:10.1111/obes.12377 · Cited by 339
Self-citationMohamed, J., Abdi, M. J., Mohamed, A. I., Muhumed, M. A., Abdeeq, B. A., Abdi, A. A., Abdilahi, M. M., & Ali, D. A. (2024) · Journal of Health, Population and Nutrition · doi:10.1186/s41043-024-00557-9 · Cited by 16
Metadata
- Authors
- Kripfganz, S., & Schneider, D. C.
- Venue
- The Stata Journal: Promoting communications on statistics and Stata
- Publisher
- SAGE Publications
- Published
- 2023-12
- Volume
- 23
- Issue
- 4
- Pages
- 983-1019
- ISSN
- 1536-867X (ISSN-L)
- 1536-8734
- OpenAlex
- W2904812166
- Cited by
- 299
- References
- 53
- FWCI
- 48.42
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Kripfganz, S., & Schneider, D. C. (2023). ardl: Estimating autoregressive distributed lag and equilibrium correction models. The Stata Journal: Promoting communications on statistics and Stata. https://doi.org/10.1177/1536867x231212434
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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