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ardl: Estimating autoregressive distributed lag and equilibrium correction models

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  • Sebastian Kripfganz
  • Daniel C. Schneider

Abstract

We present a Stata package for the estimation of autoregressive distributed lag (ARDL) models in a time-series context. The ardl command can be used to estimate an ARDL model with the optimal number of autoregressive and distributed lags based on the Akaike or Schwarz/Bayesian information cri- terion. The regression results can be displayed in the ARDL levels form or in the error-correction representation of the model. The latter separates long-run and short-run effects and is available in two different parameterizations of the long-run (cointegrating) relationship. The popular bounds testing procedure for the existence of a long-run levels relationship is implemented as a postestimation feature. Comprehensive critical values and approximate p-values obtained from response-surface regressions facilitate statistical inference.

Suggested Citation

  • Sebastian Kripfganz & Daniel C. Schneider, 2022. "ardl: Estimating autoregressive distributed lag and equilibrium correction models," TUPD Discussion Papers 18, Graduate School of Economics and Management, Tohoku University.
    • Handle: RePEc:toh:tupdaa:18
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