ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Kilian, Lutz & Ohanian, Lee E., 2002.
"Unit Roots, Trend Breaks, And Transitory Dynamics: A Macroeconomic Perspective,"
Macroeconomic Dynamics, Cambridge University Press, vol. 6(5), pages 614-632, November.
- Kilian, L. & Ohanian, L.E., 1999. "Unit Roots, Trend Breaks and Transitory Dynamics: A Macroeconomic Perspective," Papers 99-02, Michigan - Center for Research on Economic & Social Theory.
- Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2008. "Model specification, observational equivalence and performance of unit root tests," MPRA Paper 13489, University Library of Munich, Germany.
- Plosser, Charles I. & Schwert*, G. William, 1978. "Money, income, and sunspots: Measuring economic relationships and the effects of differencing," Journal of Monetary Economics, Elsevier, vol. 4(4), pages 637-660, November.
- Pesaran, M. Hashem & Smith, Ron, 1995.
"Estimating long-run relationships from dynamic heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
- Pesaran, M.H. & Smith, R., 1992. "Estimating Long-Run Relationships From Dynamic Heterogeneous Panels," Cambridge Working Papers in Economics 9215, Faculty of Economics, University of Cambridge.
- Zivot, Eric & Andrews, Donald W K, 2002.
"Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
- Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-270, July.
- Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
- Tom Doan, "undated". "ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test," Statistical Software Components RTS00236, Boston College Department of Economics.
- HENDRY, David F. & RICHARD, Jean-François, 1983. "The econometric analysis of economic time series," LIDAM Reprints CORE 531, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ahking, Francis W., 2002. "Model mis-specification and Johansen's co-integration analysis: an application to the US money demand," Journal of Macroeconomics, Elsevier, vol. 24(1), pages 51-66, March.
- Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
- Phillips, P.C.B., 1986.
"Understanding spurious regressions in econometrics,"
Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
- Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Pesaran, M Hashem, 1997.
"The Role of Economic Theory in Modelling the Long Run,"
Economic Journal, Royal Economic Society, vol. 107(440), pages 178-191, January.
- Pesaran, M.H., 1996. "The Role of Economic Theory in Modelling the Long Run," Cambridge Working Papers in Economics 9612, Faculty of Economics, University of Cambridge.
- Rudebusch, Glenn D, 1993.
"The Uncertain Unit Root in Real GNP,"
American Economic Review, American Economic Association, vol. 83(1), pages 264-272, March.
- Glenn D. Rudebusch, 1992. "The uncertain unit root in real GNP," Finance and Economics Discussion Series 193, Board of Governors of the Federal Reserve System (U.S.).
- Chi-Young Choi; Ling Hu; Masao Ogaki, 2004.
"A Spurious Regression Approach to Estimating Structural Parameters,"
Econometric Society 2004 Far Eastern Meetings
555, Econometric Society.
- Masao Ogaki & Ling Hu & Chi-Young Choi, 2004. "A Spurious Regression Approach to Estimating Structural Parameters," Working Papers 04-01, Ohio State University, Department of Economics.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Harris, David, 1997.
"Principal Components Analysis of Cointegrated Time Series,"
Econometric Theory, Cambridge University Press, vol. 13(4), pages 529-557, February.
- Harris, D., 1996. "Principal Components Analysis of Cointegrated Time Series," Monash Econometrics and Business Statistics Working Papers 2/96, Monash University, Department of Econometrics and Business Statistics.
- Murray, Christian J & Nelson, Charles R, 2002.
"The Great Depression and Output Persistence,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(4), pages 1090-1098, November.
- Christian J. Murray & Charles Nelson, 2000. "The Great Depression and Output Persistence," Working Papers 0010, University of Washington, Department of Economics.
- Christian J. Murray & Charles Nelson, 2000. "The Great Depression and Output Persistence," Discussion Papers in Economics at the University of Washington 0010, Department of Economics at the University of Washington.
- Diebold, Francis X & Senhadji, Abdelhak S, 1996. "The Uncertain Unit Root in Real GNP: Comment," American Economic Review, American Economic Association, vol. 86(5), pages 1291-1298, December.
- Podivinsky, Jan M., 1998. "Testing misspecified cointegrating relationships," Economics Letters, Elsevier, vol. 60(1), pages 1-9, July.
- David H Papell & Ruxandra Prodan, 2007. "Restricted Structural Change And The Unit Root Hypothesis," Economic Inquiry, Western Economic Association International, vol. 45(4), pages 834-853, October.
- Perron, Pierre, 1990.
"Testing for a Unit Root in a Time Series with a Changing Mean,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-162, April.
- Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers 347, Princeton, Department of Economics - Econometric Research Program.
- Phillips, Peter C B & Ouliaris, S, 1990.
"Asymptotic Properties of Residual Based Tests for Cointegration,"
Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
- Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
- Stephen Leybourne & Paul Newbold, 2003. "Spurious rejections by cointegration tests induced by structural breaks," Applied Economics, Taylor & Francis Journals, vol. 35(9), pages 1117-1121.
- Dahud Kehinde Shangodoyin & Raghunath Arnab & Oluokun Kasali Agunloye, 2014. "Lag Length Specification in Engle-Granger Cointegration Test: A Modified Koyck Mean Lag Approach Based on Partial Correlation," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 15(4), pages 559-572, September.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- Wojciech W. Charemza & Derek F. Deadman, 1997. "New Directions In Econometric Practice, Second Edition," Books, Edward Elgar Publishing, number 1139.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Satya Prasad Padhi, 2024. "Indian Experience of Managing Impossible Trinity, Growth and Possible Tradeoff Between FDI and FIIs: Nature of Capital Inflows Matter," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 16(1), pages 44-63, January.
- Maryam Ishaq & Ghulam Ghouse & Muhammad Ishaq Bhatti, 2022. "Another Prospective on Real Exchange Rate and the Traded Goods Prices: Revisiting Balassa–Samuelson Hypothesis," Sustainability, MDPI, vol. 14(13), pages 1-17, June.
- Khaliq Ul Rehman & Ghulam Ghouse, 2024. "Examining Inflation Expectations within Asian Economies: Application of Wavelet Quantile Analysis towards Assessing Monetary Policy Credibility," Journal of Economic Impact, Science Impact Publishers, vol. 6(1), pages 70-80.
- Khan, Aftab & Wang, Chao, 2024. "Exploring the consequence of ecological and agronomic determinants on wheat production instabilities in Khyber Pakhtunkhwa, Pakistan: Perspectives from dynamic autoregressive distributed lag analysis," Agricultural Water Management, Elsevier, vol. 300(C).
- Jiajia Meng & Xuedong Wang & Jialu Yang, 2023. "Supply Chain Finance and Industrial Efficiency: Evidence From ICT Industry," SAGE Open, , vol. 13(4), pages 21582440231, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ghouse, Ghulam & Khan, Saud Ahmed & Rehman, Atiq Ur, 2018. "ARDL model as a remedy for spurious regression: problems, performance and prospectus," MPRA Paper 83973, University Library of Munich, Germany.
- Atiq-ur-Rehman, 2011.
"Impact of Model Specification Decisions on Unit Root Tests,"
International Econometric Review (IER), Econometric Research Association, vol. 3(2), pages 22-33, September.
- Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2009. "Impact of Model Specification Decisions on Unit Root Tests," MPRA Paper 19963, University Library of Munich, Germany.
- Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
- Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5.
- Jürgen Wolters & Uwe Hassler, 2006.
"Unit Root Testing,"
Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 4, pages 41-56,
Springer.
- Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 43-58, March.
- Wolters, Jürgen & Hassler, Uwe, 2005. "Unit root testing," Discussion Papers 2005/23, Free University Berlin, School of Business & Economics.
- John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, April.
- D. Ventosa-Santaulària, 2009.
"Spurious Regression,"
Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
- Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
- Brittle, Shane, 2009. "Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia," Economics Working Papers wp09-10, School of Economics, University of Wollongong, NSW, Australia.
- Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010.
"Cointegration in a historical perspective,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 156-159, September.
- Franses, Ph.H.B.F. & van Dijk, D.J.C., 2009. "Cointegration in a historical perspective," Econometric Institute Research Papers EI 2009-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- repec:hit:hitjcm:v:56:y:2015:i:1:p:117-134 is not listed on IDEAS
- John Y. Campbell & Pierre Perron, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots,"
NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220,
National Bureau of Economic Research, Inc.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
- Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
- Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
- Huang, Yu-Lieh & Huang, Chao-Hsi, 2015. "Uncertain Effects Of Shocks Vs. Uncertain Unit Root: An Alternative View Of U.S. Real Gdp," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 56(1), pages 117-134, June.
- W A Razzak, 2007.
"A Perspective on Unit Root and Cointegration in Applied Macroeconomics,"
International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 4(1), pages 77-102.
- Razzak, Weshah, 2003. "A Perspective on Unit Root and Cointegration in Applied Macroeconomics," MPRA Paper 1970, University Library of Munich, Germany, revised 2007.
- Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006.
"Time Series Analysis,"
Working Papers
28556, University of Maryland, Department of Agricultural and Resource Economics.
- Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Magazzino, Cosimo, 2012. "Wagner versus Keynes: Public spending and national income in Italy," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 890-905.
- Levent KORAP, 2008.
"Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach,"
Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
- Levent, Korap, 2008. "Exchange rate determination of TL/US$: a co-integration approach," MPRA Paper 19659, University Library of Munich, Germany.
- Tang, Chor Foon, 2011. "Tourism, real output and real effective exchange rate in Malaysia: a view from rolling sub-samples," MPRA Paper 29379, University Library of Munich, Germany.
- David Greasley & Les Oxley, 2010.
"Cliometrics And Time Series Econometrics: Some Theory And Applications,"
Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
- David Grreasley, 2010. "Cliometrics and Time Series Econometrics: Some Theory and Applications," Working Papers in Economics 10/56, University of Canterbury, Department of Economics and Finance.
- Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
- Esther Stroe-Kunold & Joachim Werner, 2009. "A drunk and her dog: a spurious relation? Cointegration tests as instruments to detect spurious correlations between integrated time series," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(6), pages 913-940, November.
- Murray, Christian J. & Nelson, Charles R., 2000.
"The uncertain trend in U.S. GDP,"
Journal of Monetary Economics, Elsevier, vol. 46(1), pages 79-95, August.
- Charles Nelson & Christian Murray, 1997. "The Uncertain Trend in U.S. GDP," Computational Economics 9702001, University Library of Munich, Germany.
- Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington.
- Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 97-05, Department of Economics at the University of Washington.
- Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Working Papers 0074, University of Washington, Department of Economics.
- Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Working Papers 97-05, University of Washington, Department of Economics.
More about this item
Keywords
spurious regression; missing lag value; unit root; cointegration; ARDL;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:9:y:2021:i:22:p:2839-:d:675477. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.