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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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Using long-run propensities to compare magnitude of association among independent variables

Is it feasible to add up all significant lags of respective independent variables (disregarding insignificant ones) in order to compare the strength or magnitude of their respective association with ...
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What properties must be verified for a simple OLS regression model with time series?

Let's say I have 3 time series variables, $(X_t)$, $(Y_{t})$, $(Z_{t})$ and I estimate the following model with OLS estimator (I believe this form is called ARDL) : $$X_{t} \quad = \quad \alpha_1 X_{t-...
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Interpret $R^2$ for a long-run equilibrium model (2 stage OLS)

I've built an error correction model using two stage OLS - first an OLS on the cointegrated I(1) variables in levels to get the cointegration coefficients, and then an ARDL in differences with the ...
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Regression variables integrated of orders I(0), I(1) and I(2)

I am working on a model with 4 variables, and these variables are integrated I(0) and I(1), but one variable is integrated I(2). What is the model suitable for this data?
Djibril's user avatar
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Can I compute a VAR Model and then work on only one OLS equation?

Good morning, I'm trying to estimate a VAR model between six variables and one of them is the price of copper. What I'm interested in is only the equation of the copper prices and i'm running a VAR ...
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ECM Specification of ARDL model

I have a question regarding the model reparametrization of an ARDL model. Consider the following ARDL$(p,q,q,\ldots,q)$ model: \begin{equation} y_{it} = \alpha_i + \sum_{j=1}^{p} \lambda_{ij} y_{i,t-j}...
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Time series model without ARMA component and with exogenous variables

I am trying to know what is the most simple model for time series data, with exogenous variables. What is the most simple framework I can use ? Is it possible to build a model more simple than ARIMAX, ...
Johannes Konrad's user avatar
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Can I transform variables to comply with conditions on order of integration in an ARDL model?

If log variable have a unit root, can you then difference it? For ARDL model variables should not be I(2) or more. Variables of log form are I(2). Would it be a problem to difference it. What I am ...
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Question regarding interpretation of ARDL results - logged & first differenced variables [closed]

I have trouble understanding how I should interpret my results from ARDL regression. Does anyone know how the following table should be interpreted? d indicating first difference, ln indicating log (...
Hampus Elon's user avatar
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The difference of a variable has a unit root, but the variable itself doesn't

I am trying to build an ARDL model with the six following variables: lnNO2,lnP,lnGDP,...
Saïd Maanan's user avatar
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ARDL OLS assumptions?

can someone direct me to a paper etc. that states the assumptions of ARDL that need to hold for parameters to be valid? ARDL is an OLS based model , does that mean the regular assumptions of Gauss-...
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Interpretation ARDL all variables in log

I was hoping someone could help me confirm or correct me on my interpretation of my estimated coefficients of ARDL model. All my variables are converted into natural log form, ln, both Y and Xs. My ...
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ARDL Unit root df

When applying ARDL I used Dickey-Fuller unit root test, and found variables integrated at I(1) and I(0). For running the ARDL model do I use my original data (not differenced) or do I use the ...
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If the dependent variable in an ARDL model is a growth rate, must predictors also be growth rates?

If I use growth rate of Y as the dependent variable in an ARDL model, do predictors need to be converted into growth rates, too?
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ARDL non-stationary

I have multiple explanatory variables and one dependent variable. Data for all are collected at an annual basis, time series, dependent on their t-1 value. ¨ Will use of ARDL Autoregressive ...
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How to correct for serial correlation in an ARDL model without increasing lags?

I'm currently looking to run an ARDL model - I'm able to compute results that show cointegration, however there is serial correlation when I run the Durbin-Watson and Breusch-Godfrey tests. To correct ...
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Lag between forecasted and actual values ARDL

I am computing forecasts with ARDL models of different lag length across both dependent and independent variables. Regardless of the lag lengths, the actual observations for the dependent variable lag ...
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What is the role of Panel Cointegration Analysis in Estimating Long Run Effects for ARDL models?

I am estimating some panel ARDL models, and wanted to ask where the value add comes from with cointegration analysis. From what I've read, one can estimate long-run effects using an ARDL in levels as ...
Thomas Simpson's user avatar
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Estimate variance of a long-run coefficient in the ECM framework

Consider the following unrestricted linear ECM: $$\Delta y_t=\mu+\beta_1 y_{t-1}+ \beta_2 x_{t-1} + \gamma \Delta x_t +\epsilon_t.$$ Now, suppose we have the estimated coefficients ($\widehat{\mu}, \...
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ARDL Model in First Differences For Non-Cointegrated Time Series?

I would like to regress $Y_t$ on $X_t$. I have concluded that the series are each $I(1)$ and not cointegrated. I am curious as to if I can still use an ARDL model to capture any possible long-term ...
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Cointegration tests and deciding which is Y and X variables

I understand the Engle-Granger test, we regress Y on X, get residuals, then test those residuals for cointegration. What does it mean to do the other way round, I.e to get residuals from X = c + bY ...
TommyMarc's user avatar
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113 views

Cointegration test; model with different number of explanatory variables

I have run an ADF test on the residuals of an ARDL and a DOLS model to test for cointegration. I have 3 explanatory variables and 1 response variable. When I run the ADF test on the residuals on both ...
Benjamin Bech's user avatar
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Can I use ARDL model even if my series aren't stationary?

I have econometric data, and the three tests of unit root: Dickey-Fuller, Phillips–Perron and KPSS have confirmed that more than half of my variables aren't integrated at I(0), nor they are at I(1). I ...
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How to deal with a mix of I(1) and I(2) variables?

I have one dependent variable which becomes stationary after the first difference I(1). There are 4 independent variables, out of which 2 become stationary after the first difference and the other two ...
DigBick's user avatar
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Analyzing relationships in 5 time series (cointegration)

I don't have a dependent variable in this case. 5 time series correspond to 5 different sections of the same company. I want to analyze the relationships between the sections based on these 5 time ...
Geek_Tech's user avatar
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Panel ARDL Bounds steps?

I hope you are doing well. I need a little help. Can you please mention the steps for the ARDL Bounds test for cointegration and then causality - the panel data version, not the time series one. If ...
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Good books on autoregressive distributed lags (ARDL)

I would like to find a book on ARDl not part of a general time series book, but focused on ARDL primarily (I have read books on time series and articles on ARDL already - I want an extensive treatment ...
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Can a restricted VECM be expressed as two ARDL equations?

I'm currently working on a model where I have two variables that are cointegrated. The issue is that, whilst they are cointegrated (based both on intuition and tests), the relationship is lag-heavy. $...
Jamzy's user avatar
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ARIMA vs. ADL model

I have estimated an MA(3) model and an ADL model on the differenced US unemployment rate. However, I'm in doubt as how to compare the two models? Does it make sense to compare them using information ...
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I have a very high $R^2 (0.96)$ for my ARDL time series model, is this problematic?

All my variables are stationary, so cointigration can't be the problem. I have included one lag of the dependent variable and 5 explanatory variables. When I remove the explanatory variables, the R^2 ...
Carl Kusche's user avatar
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402 views

How would I interpret a dummy variable and interaction term in this time series analysis using ARDL?

I'm doing an econometrics paper analyzing the impacts of oil price shocks on GDP growth. In one of my models, I use change in nominal oil prices, a dummy variable representing negative oil price ...
econstudent1327's user avatar
1 vote
1 answer
665 views

ARDL model as remedy for spurious regression?

Suppose there are two non-stationary time series of integrated order 1. The two time series are not cointegrated. According to conventional econometric theory, "In general, regression models for ...
Thorsten's user avatar
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ARDL model: Is it valid the use of Wald test on short-run coefficients to determine causality?

I estimated an ARDL model and there was cointegration based on bound tests. I obtained the error correction form. Most journal articles I have seen assess sort-run causality by just performing Granger ...
Marlom's user avatar
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Do I need to First-Difference Before Using ARDL?

I have a four variables, two of which are $I(0)$ and the other two are $I(1)$. I've decided to use ARDL (Auto regressive distributed lag) model because I have a mix of $I(0)$ and $I(1)$ variables. ...
Andrew 's user avatar
2 votes
1 answer
576 views

Reason for I(1) integration order limit in ARDL regression

What is the reason for I(1) integration order limit of independent (or dependent) variable in ARDL regression?, to be specific I(2) variable will 'break' the ARDL model/estimation. Fast thinking I ...
user2646205's user avatar
1 vote
1 answer
155 views

Should I use a ARDL if I have more than one cointegrating relationship?

I have a four time series variables. They are a mix of I(0) and I(1) variables. There is also more than one cointegrating relationship among the variables. If there is more than one cointegrating ...
Andrew 's user avatar
3 votes
2 answers
1k views

How to deal with a mix of I(1) and I(0) variables?

It seems that choosing the appropriate model for a mix of I(1) and I(0) variables is an hot topic on Stack Exchange but I was not able to find the solution I am looking for : Considering a TS model ...
charlslvn's user avatar
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450 views

Use of ARDL, VECM, along with the Multiple OLS Method

Besides ARDL & VECM, in the Multiple OLS, I regress the dependent Y(0) time series with independent time series (19 in number) X(0) and (4 in number) X(1) variables. The residuals are serially ...
Dr. Paritosh Chandra Sinha's user avatar
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1 answer
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The relationship between autoregressive model and distributed-lag model

The autoregressive models (koyck model, adaptive expectation model, potential adjustment model) I have learned so far are all derived from distributed lag models. And intuitively it makes sense since ...
Yuan's user avatar
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387 views

How to estimate the order of the ARDL model in R?

I have to build the best fitting ARDL model with d(log(GDP)) as the dependent variable and d(int. rate) as a regressor and use AIC for the lag selection with maximum 12 lags for the regressor and 12 ...
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1 answer
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Consistency of ADL/ARDL/ARIMAX coefficients

Enders in Applied Econometric Time Series (4th edition, p.282) has following statement about consistency of coefficients in ARDL models: "For the coefficients of C(L) to be unbiased estimates of the ...
CrisisStudent's user avatar
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ARDL with I(1) variables for calculating long-run multiplier

The results from Pesaran and Shin indicated that the ARDL approach to testing cointegration can involve variables of I(0), I(1), or a combination of them. However, if I am not concerned about ...
Jonas's user avatar
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1 answer
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Inclusion of a squared independent variable in a Distributed Lag model

I am interested in regressing monthly temperature data on an individual's self-evaluated wellbeing in a panel survey, of the form: ...
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1 answer
579 views

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. ...
modeler's user avatar
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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}+\...
Lorenzo 's user avatar
1 vote
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349 views

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 $\...
Lorenzo 's user avatar
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303 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 $\...
Lorenzo 's user avatar
2 votes
1 answer
1k 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 ...
Alexander Butler's user avatar
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467 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
Lars Ahnland's user avatar
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1 answer
4k 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 ...
user3844454's user avatar