Autoregressive distributed lag models and cointegration
AbstractThis paper considers cointegration analysis within an autoregressive distributed lag (ADL) framework. First, different reparameterizations and interpretations are reviewed. Then we show that the estimation of a cointegrating vector from an ADL specification is equivalent to that from an error-correction (EC) model. Therefore, asymptotic normality available in the ADL model under exogeneity carries over to the EC estimator. Next, we review cointegration tests based on EC regressions. Special attention is paid to the effect of linear time trends in case of regressions without detrending. Finally, the relevance of our asymptotic results in finite samples is investigated by means of computer experiments. In particular, it turns out that the conditional EC model is superior to the unconditional one. --
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Allgemeines Statistisches Archiv.
Volume (Year): 90 (2006)
Issue (Month): 1 (March)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=112915
Other versions of this item:
- Hassler, Uwe & Wolters, Jürgen, 2005. "Autoregressive distributed lag models and cointegration," Discussion Papers 2005/22, Free University Berlin, School of Business & Economics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Breusch, Trevor S & Wickens, Michael R, 1987. "Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models," CEPR Discussion Papers 154, C.E.P.R. Discussion Papers.
- Peter Boswijk, H., 1994. "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 37-60, July.
- Neil Ericsson, 2004. "The ET interview: professor David F. Hendry," International Finance Discussion Papers 811, Board of Governors of the Federal Reserve System (U.S.).
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Phillips, P C B, 1988.
"Reflections on Econometric Methodology,"
The Economic Record,
The Economic Society of Australia, vol. 64(187), pages 344-59, December.
- Alogoskoufis, George & Smith, Ron, 1991. " On Error Correction Models: Specification, Interpretation, Estimation," Journal of Economic Surveys, Wiley Blackwell, vol. 5(1), pages 97-128.
- Uwe Hassler, 1999. "(When) Should cointegrating regressions be detrended? The case of a German money demand function," Empirical Economics, Springer, vol. 24(1), pages 155-172.
- Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
- Helmut Lütkepohl, 2006.
"Structural vector autoregressive analysis for cointegrated variables,"
AStA Advances in Statistical Analysis,
Springer, vol. 90(1), pages 75-88, March.
- Helmut Luetkepohl, 2005. "Structural Vector Autoregressive Analysis for Cointegrated Variables," Economics Working Papers ECO2005/02, European University Institute.
- repec:ner:carlos:info:hdl:10016/3275 is not listed on IDEAS
- M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
- Urbain, Jean-Pierre, 1992.
"On Weak Exogeneity in Error Correction Models,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 54(2), pages 187-207, May.
- Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-92, December.
- Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
- Peter C.B. Phillips & Steven N. Durlauf, 1985.
"Multiple Time Series Regression with Integrated Processes,"
Cowles Foundation Discussion Papers
768, Cowles Foundation for Research in Economics, Yale University.
- Phillips, P C B & Durlauf, S N, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 473-95, August.
- repec:aah:aarhec:1988-7 is not listed on IDEAS
- Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 133-158, September.
- Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-56, September.
- Hylleberg, Svend & Mizon, Grayham E, 1989. "Cointegration and Error Correction Mechanisms," Economic Journal, Royal Economic Society, vol. 99(395), pages 113-25, Supplemen.
- Hassler, Uwe, 2000. " Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(5), pages 621-32, December.
- Rasmus Kattai & John Lewis, 2005.
"Hooverism, Hyperstabilisation or Halfway-House? Describing Fiscal Policy in Central and Eastern European EU Members,"
Baltic Journal of Economics,
Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 38-47, July.
- Rasmus Kattai & John Lewis, 2005. "Hooverism, Hyperstabilisation or Halfway-House? Describing Fiscal Policy in Central and Eastern European EU Members," Bank of Estonia Working Papers 2005-05, Bank of Estonia, revised 10 Oct 2005.
- Koester, Gerrit B. & Priesmeier, Christoph, 2012. "Estimating dynamic tax revenue elasticities for Germany," Discussion Papers 23/2012, Deutsche Bundesbank, Research Centre.
- Nowak-Lehmann D., Felicitas & Martínez-Zarzoso, Inmaculada & Cardozo, Adriana & Herzer, Dierk & Klasen, Stephan, 2011. "Does Aid translate into Bilateral Trade? Findings for Recipient Countries," Proceedings of the German Development Economics Conference, Berlin 2011 61, Verein für Socialpolitik, Research Committee Development Economics.
- Raghbendra Jha & Varsha S. Kulkarni, 2013. "Inflation, its Volatility and the Inflation-Growth Tradeoff in India," ASARC Working Papers 2013-06, The Australian National University, Australia South Asia Research Centre.
- Claus-Friedrich Laaser & Klaus Schrader, 2005. "Baltic Trade with Europe: Back to the Roots?," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 15-37, July.
- Virmantas Kvedaras, 2005. "Explanation of Economic Growth Differences in the CEE Countries: Importance of the BOP Constraint," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 48-65, July.
- Morten Hansen, 2005. "The Irosh Growth Miracle: Can Latvia Replicate?," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 3-14, July.
- Garfa, Kamel, 2011. "MENA aggregate cycle and world conjuncture: Episodes of volatility and symmetry, and an ADL cointegration test," MPRA Paper 32247, University Library of Munich, Germany, revised Mar 2011.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.