Recent Developments of the Autoregressive Distributed Lag Modelling Framework

TY - JOUR

T1 - Recent Developments of the Autoregressive Distributed Lag Modelling Framework

AU - Greenwood-Nimmo, Matthew

AU - Cho, Jinseo

AU - Shin, Yongcheol

N1 - © 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

PY - 2021/8/3

Y1 - 2021/8/3

N2 - 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, thepooled mean group dynamic panel data model and the spatio-temporal ARDL model.

AB - 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, thepooled mean group dynamic panel data model and the spatio-temporal ARDL model.

KW - Autoregressive Distributed Lag (ARDL) Model

KW - Asymmetry

KW - Nonlinearity and Threshold Effects

KW - Quantile Regression

U2 - 10.1111/joes.12450

DO - 10.1111/joes.12450

M3 - Article

SN - 0950-0804

JO - Journal of Economic Surveys

JF - Journal of Economic Surveys

ER -