Projects per year
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.
pooled mean group dynamic panel data model and the spatio-temporal ARDL model.
Original language | English |
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Number of pages | 26 |
Journal | Journal of Economic Surveys |
Early online date | 3 Aug 2021 |
DOIs | |
Publication status | E-pub ahead of print - 3 Aug 2021 |
Bibliographical note
© 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 detailsKeywords
- Autoregressive Distributed Lag (ARDL) Model
- Asymmetry
- Nonlinearity and Threshold Effects
- Quantile Regression
Projects
- 1 Active
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New Cross-Sectionally Dependent Panel Data Methods for the Analysis of Macroeconomic and Financial Networks
ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC)
1/12/20 → 31/07/24
Project: Research project (funded) › Research