The Stata Journal Promoting communications on statistics and Stata · 2023 · 105 citations · 50 references
Social SciencesEconomicsEconometricsForecastingTime Series AnalysisCointegration AnalysisStationarity AnalysisTime Series EconometricsTime Series ForecastingTime Series ModelingAutoregressive Distributed Lag ModelsAutoregressive ModelsAutoregressive Time Series ModelsDistributed Lag ModelsEquilibriumEquilibrium ModelsStationary Time SeriesTime Lag Analysis
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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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
David A. Dickey, Wayne A. Fuller · Econometrica · 1981 · 14.6K citations
Business, Economics, Econometrics +15