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An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis
| Content Provider | Semantic Scholar |
|---|---|
| Author | Pesaran, M. Hashem Shin, Yongcheol |
| Copyright Year | 1995 |
| Abstract | Introduction Econometric analysis of long-run relations has been the focus of much theoretical and empirical research in economics. In cases in which the variables in the long-run relation of interest are trend-stationary, the general practice has been to de-trend the series and to model the de-trended series as stationary autoregressive distributed-lag (ARDL) models. Estimation and inference concerning the long-run properties of the model have then been carried out using standard asymptotic normal theory. For a comprehensive review of this literature, see Hendry, Pagan, and Sargan (1984) and Wickens and Breusch (1988). The analysis becomes more complicated when the variables are difference-stationary, or integrated of order 1 [ I (1) for short]. The recent literature on cointegration has been concerned with analysis of the long-run relations between I (1) variables, and its basic premise has been, at least implicitly, that in the presence of I (1) variables the traditional ARDL approach is no longer applicable. Consequently, large numbers of alternative estimation and hypothesis-testing procedures have been specifically developed for the analysis of I (1) variables. See the pioneering work of Engle and Granger (1987), Johansen (1991), Phillips (1991), Phillips and Hansen (1990), and Phillips and Loretan (1991). |
| Starting Page | 371 |
| Ending Page | 413 |
| Page Count | 43 |
| File Format | PDF HTM / HTML |
| DOI | 10.1017/CCOL521633230.011 |
| Alternate Webpage(s) | http://www.econ.cam.ac.uk/faculty/pesaran/ardl.pdf |
| Alternate Webpage(s) | https://doi.org/10.1017/CCOL521633230.011 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
