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Questions tagged [ardl]

AutoRegressive Distributed Lag is a time series model where the dependent variable is a function of its own lags, other variables, and their lags. ARDL is convenient for modelling I(0) and I(1) variables together and for cointegration testing.

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Validity of ARDL regression when there is I(2) variable

I am trying to model relationship between Y(t) and Y(t-1), X(t), X(t-1) and Z(t) using ARDL model. Most cases these time-series are I(0) or I(1). However sometimes I encounter I(2) or higher order. ...
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Interpretation of ARDL coefficients under de-trending

Consider the ARDL(1,1) model: $y_t=\beta_1y_{t-1}+\beta_2x_{t}+\beta_3x_{t-1}+\eta_t$. Assume that I know $x_t$ is stationary around a linear trend: $x_t=\delta t+z_t$ Then: $y_t=\beta_1y_{t-1}+\...
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Maximum likelihood and OLS estimation of ARDL model under nonstationarity

Consider the simple ARDL(1,1) model $y_t=\beta_0+\beta_1y_{t-1}+\beta_2x_{t}+\beta_3x_{t-1}+\epsilon_t$ If $y_t$ and $x_t$ are non-stationary can I fit the model with OLS? If not, is assuming that $\...
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23 views

Stationarity in an ADL model

In an ADL model, in order to be consistent do we require both the IV and DV to be stationary? In particular in a process of the form: $$\Phi(L)y_t=\Theta(L)x_t+\epsilon_t$$ where $\Phi(L)$ and $\...
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How to determine the df (degrees of freedom) in DLNM?

I am working on distributed lag nonlinear models (DLNM) for one of the problems. I have been going through the vignette provided to understand the concept in detail. I am trying to understand how to ...
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10 views

Interpretation of ARDL coefficient when lags switch signs

I usually see that when in an ARDL model lags for a particular variable are significant and consistently positive it implies that the series is persistent. The intuition is that if the coefficients ...
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99 views

R - Deriving short and long run effects in ARDL model

I have an ARDL Unrestricted ECM that passes the Bounds test for cointegrtion. Now I want to calculate the short and long run estimates of the model, however I am unsure of how to do this in a ...
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37 views

How do you estimate long-run coefficients from ARDL bounds test?

Can anyone explain this to me in simple english without too much complex algebra please? Hw and why etc. Thx
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331 views

Which test for lagged effect of one time series on another?

I have a data set with three variables: year (21 consecutive years) and two time series which are count data (count1 and count2). I want to know whether count2 correlates with some time delay lag with ...
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45 views

spatial non-stationarity, spatial durbin model “in differences” and bounds testing

I have two spatially correlated series. Basic tests indicate spatial non-stationarity of both, but no cointegration (Lauridsen & Kosfeld, 2006). Does anything speak against differencing all ...
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277 views

Pesaran ARDL Model for testing cointegration relationship - How many variables?

I have a question related to a recent thread on CrossValidated. Pesaran et al. (2001) propose an ARDL model that tests for cointegration with a bounds testing approach. What didn't get clear to me, ...
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1k views

Using a ECM/VECM or ARDL model? Why and How?

I have a couple of question regarding the use ECM/VECM and Johansen test for cointegration.  In my model (6 variables), I have only one variable that is Stationary in its level, the remaining five ...
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410 views

ARDL model: lag order selection for valid inference

I estimated an ARDL model of 6 variables. After several attempts (using different lags) to find a better estimate, I got a selected ARDL model using AIC as (1,1,0,0,1,2) while using SIC is ARDL (1,0,0,...
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212 views

Does significance level of individual coefficients in ARDL really matter?

Does significance level of individual coefficients in ARDL really matter? Some papers dont mention the p-values of individual coefficients while others retain non-significant variables in their final ...
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447 views

Should we remove non-significant lagged variables in ARDL?

One video on youtube removes non-significant lags from the ARDL regression while others keep all the non-significants too and rely on Wald test for effects. My questions are as follows: While using ...
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451 views

Do the dependent variable in a ARDL model have to be I(1) or can it be I(0)?

I`m trying to make a ARDL model and have 6 variables were the dependent variable are I(0), stationary at level, with 6 lags and the 5 remaining independent variables are I(1), stationary at first ...
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251 views

Polynomial distributed lag AR model specification

Generally speaking, polynomial distributed lag (PDL) models deal with independent variables and autoregressive (AR) models deal with dependent variables (their errors), but are there ever occasions ...
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493 views

Assumptions for variables in the ARDL model

I am currently working on an ARDL model: $$ e_t = \sum(e_t) + \sum(GDP_t) + \sum(t_t) + \epsilon_t $$ where $e$ is electricity demand, and $t$ is degree. Can someone outline the assumptions that the ...
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106 views

What's an ADL with three variables called? (ADL(p,q) vs ADL(p,q,g) vs ?)

In every example I've seen, there are just two variables in an ADL(p,q) (in relation to cointegration) where p and q are the numbers of lags included for each variable. What is the correct/standard ...
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309 views

ARDL time series steps

I want to confirm that regarding Auto-Regressive Distributed Lag model used for time series all variables must be stationary at level or at 1st difference and no variable should be at 2nd difference. ...
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140 views

Modelling one time series with separate explanatory lagged series

I'm trying to model how one time series A (transactions in an asset in some market) leads another time series B (transactions in a related asset). In this sense, I guess I'm trying to forecast B using ...
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824 views

Autocorrelated residuals in ARDL and/or ECM

When there is an issue of autocorrelation in an ARDL or ECM model, are we allowed to use AR(1) to correct for the problem? What is the difference between ARDL model and ECM model?
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3k views

Difference between Distributed Lags and VAR Models

What would be the difference of estimating a variable inside and outside a VAR model? Namely, if I know the relevant explanatory variables to model a certain variable in a time series framework, what'...
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224 views

How do you define long and short run in an ARDL model?

I am writing up my regression analysis of an ARDL model which includes the long run equation and the short run dynamics. My reader however, would like to know what I mean by long run and short run. ...
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Level variables along with differenced variables in ARDL / Error Correctional Model

I am running an ARDL model, I have both levels and difference variables. I know for sure that the difference variables should be included in the ECM but should I include the level variables as well?
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373 views

References on ARDL model

Please suggest books/references on ARDL model and ARDL bounds test approach to study.
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118 views

Conflicting cointegration results due to different lags in Johansen procedure

I have been using two different models for cointegration: Johansen's test and ARDL (autoregressive distributed lag). I guess this example could be extendent for other cointegration models as well. I ...
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1answer
2k views

Multicollinearity, variable selection for cointegration testing in ARDL and VECM/VAR frameworks

I have 15 variables some of which are highly correlated. I want to run a cointegration test in the ARDL and VAR/VECM frameworks. Due to the correlation multicollinearity is a big problem; however, I ...
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48 views

Individual versus group-wise significance in ARDL context

In an ARDL model approach, what is one supposed to do if the F-bound test shows insignificance while some variables have significant long run and short run coefficients (the error correction term is ...
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1answer
2k views

VAR/VECM/ARDL optimal lag selection

Question 1: Is it necessary to consider AIC and the BIC criteria when selecting the lag for a VAR, VECM or ARDL model OR can I use something else? Example: Can I pick 12 lags because the model simply ...
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1k views

Vector autoregression for mix of stationary and nonstationary variables

I am currently investigating the impact of certain indicators such as GDP and inflation on the stock market. However some of my variables are non-stationary and some stationary in levels. All ...
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3k views

How to calculate interim and long-run multipliers in ARDL models with >1 lag?

I have calculated an ARDL(24,36) model with 1 independent variable. The data is monthly, hence the inclusion of so many lags. I am trying to calculate the interim multiplier (the cumulative effect at ...
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2k views

Time series with autoregressive distributed lags: Forecasting for future

I have daily data from last 2 years. I want to do ARIMAX and the regressor component being autoregressive distributed lag of the same variable. Since it has impact, along with dummy variables to ...
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2answers
2k views

Using lagged dependent variables in machine learning regression

I'm building a machine learning (random forest) regression model to predict flow in a river, using rainfall, relative humidity, air temperature and certain other climatic variables. Since flow on a ...
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2k views

Lag length selection in a dynamic model, ARDL approach to cointegration in R

I want to programme an ARDL approach to cointegration in R. Below is the generic equation: $$\Delta y_t=\beta_0+\sum \beta_i \Delta y_{t-i}+\sum \gamma_k \Delta x_{1,t-k}+\sum \psi_j \Delta x_{2,t-j}+\...
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440 views

ADF testing and ARDL model cointegration

i am studying the impact of trade openness on manufacturing growth from 1967 to 2013 in Tunisia. My variables are Manufacturing value added(MVA), openness(OPEN), GFCF and manufacturing labor force (...
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285 views

How to calculate p values of long-run coefficients in autoregressive distributed lag (ARDL) bound test approach

For example, I estimate an ARDL with two variables as follows. D(xt) = a + D(xt-1) + D(yt-1) + xt-1 + yt-1 + e where D refers to first order difference. According to ARDL bound approach the long ...
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189 views

Is Distributed Lag and Moving Average the same thing?

I am currently reading Principle of Econometrics by Hill, Griffith and Lim, in the part on time series, they use the term Distributed Lag (DL) , and ARDL(1,1) etc. So is DL the same thing as Moving ...
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Analysis of Multiple Time Series Data with Exogenous Shocks

Real Life ProblemThis one is a tough one and some crowd sourcing seems like a good way to get some feedback. I am trying to determine the effect of Non-Farm Payroll surprises on a subsector of the ...
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169 views

How do I interpret weak exogeneity in an ADL model?

First year econ graduate student here; looking at an ADL (Autoregressive Distributed Lag) model for the first time. Consider $Y_t = \omega Z_t + \alpha Y_{t-1} + \beta Z_{t-1} + \mu + \epsilon_t$, ...
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937 views

AIC/BIC values keeps falling as I add more and more lags. How do I select the appropriate lag length?

I am trying to minimize the values of the Akaike and Bayesian Information Criteria to figure out the optimal lag structure for my ARDL error correction model. I am using Stata to run my analysis and ...
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1k views

How do AR,ARMA,ARDL and other time series models correct for omitted variable bias

I have come across numerous papers that use an Auto Regressive Distributed Lag (ARDL) model of the following form: $$ \Delta y_{t}=\alpha_{0}+\beta_1\Delta y_{t-1}+\beta_2\Delta x_{t-i}+\gamma_{1}y_{...
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2answers
5k views

ARDL/Error Correction Model: long vs. short run, restricted vs. unrestricted

I have a few questions about unrestricted error correction models. The UECM for a model where $Y$ is the dependent variable and $x$ is the sole independent variable is given by $$ \Delta Y_{t}=\...
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2answers
745 views

Autoregressive distributed lag model

I have one dependent variable (water consumption) and one independent variable (rainfall). The water consumption variable is non-stationary, so I differenced it to make it stationary. Meanwhile, ...
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424 views

Autoregressive distributed lag (ADL) models and Dummy variables

Is it okay to use an Autoregressive Distributed Lag (ADL) model with a dummy variable as the dependent variable? Or should I use a combination of logit/probit with an ADL model? I realize it might ...
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622 views

ARIMAX model or ARDL?

I would like to study the impact the advertising of a product on its sales (weekly data for 5 years). As the final aim is to forecast what would be the impact on sales of a change in the advertising ...
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1answer
1k views

Autoregressive distributed lag models ADL(p,q) determining amount of lags

I would like to know how I can determine the appropriate amount of lags in Matlab or another statistical package. I'm getting confused with VAR models and ARMAX models all the time and I'm a little ...
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2k views

Autoregressive distributed lag models ADL(p,q): seeking “how to” preferably in Matlab (Stata/R/Python/C# etc)

Could anyone provide me the details of how to determine the lag order of the distributed lags for an $\text{ADL}(p,q)$ model in Matlab or another statistical package (and very much preferably in ...
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2answers
19k views

Using non-stationary time series data in OLS regression

I am using 1983-2008 annual data to test if both Gini coefficients and gross national saving in China and the US can affect the US current account balance. The data seem to be non-stationary, but I am ...
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2answers
7k views

How to extract long run and short run coefficients from ARDL (UECM) estimates?

I have estimated ARDL(UECM) in eviews but I dont know how to specify or extract the long run an short run estimates/coefficienst? what is the standard procedure to do so?