Greenwood-Nimmo, Matthew, Cho, Jinseo and Shin, Yongcheol (2021) Recent Developments of the Autoregressive Distributed Lag Modelling Framework. Journal of Economic Surveys. ISSN 0950-0804
Abstract
We review the literature on the Autoregressive Distributed Lag (ARDL) model, from its origins in the analysis of autocorrelated trend stationary processes to its subsequent applications in the analysis of cointegrated non-stationary time series. We then survey several recent extensions of the ARDL model, including asymmetric and nonlinear generalisations of the ARDL model, the quantile ARDL model, the pooled mean group dynamic panel data model and the spatio-temporal ARDL model.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2021 John Wiley & Sons Ltd. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details |
Keywords: | Autoregressive Distributed Lag (ARDL) Model,Asymmetry,Nonlinearity and Threshold Effects,Quantile Regression |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Funding Information: | Funder Grant number ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC) ES/T01573X/1 |
Depositing User: | Pure (York) |
Date Deposited: | 22 Jun 2021 16:30 |
Last Modified: | 02 Apr 2025 23:22 |
Published Version: | https://doi.org/10.1111/joes.12450 |
Status: | Published online |
Refereed: | Yes |
Identification Number: | 10.1111/joes.12450 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:175507 |