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ARDL: Stata module to perform autoregressive distributed lag model estimation

Author

Listed:
  • Sebastian Kripfganz

    (University of Exeter)

  • Daniel C. Schneider

    (Max Planck Institute for Demographic Research)

Programming Language

Stata

Abstract

ardl fits a linear regression model with lags of the dependent variable and the independent variables as additional regressors. Information criteria are used to find the optimal lag lengths if those are not pre-specified as an option. The estimation output is delivered either in levels form or in equilibrium correction form. The Pesaran, Shin, and Smith (2001) bounds testing procedure for the existence of a levels relationship is implemented as a postestimation command. Corresponding critical values as well as approximate p-values are available for any sample size, number of regressors, and lag combination.

Suggested Citation

  • Sebastian Kripfganz & Daniel C. Schneider, 2018. "ARDL: Stata module to perform autoregressive distributed lag model estimation," Statistical Software Components S458528, Boston College Department of Economics, revised 12 Feb 2023.
    • Handle: RePEc:boc:bocode:s458528
    Note: This module should be installed from within Stata by typing "ssc install ardl". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/a/ardl.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardl.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardl_legacy.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardl_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardlbounds.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardlbounds.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardl_estat.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardl_postestimation.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardl_surfreg_coefs.dta
    File Function: lookup file
    Download Restriction: no
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