Article
Have Your Cake and Eat it Too? Cointegration and Dynamic Inference from Autoregressive Distributed Lag Models
公开 Deposited
https://scholar.colorado.edu/concern/articles/br86b4223
- Abstract
- Although recent articles have stressed the importance of testing for unit-roots and cointegration in time series analysis, practitioners have been left without a straightforward procedure to implement this advice. I propose using the autoregressive distributed lag model and bounds cointegration test as an approach to dealing with some the most commonly encountered issues in time series analysis. Through Monte Carlo experiments I show that this procedure performs better than existing cointegration tests under a variety of situations. I illustrate how to implement this strategy with two step-by-step replication examples. To further aid users, I have designed software programs in order to test and dynamically model the results from this approach.
- Creator
- Date Issued
- 2018-01-01
- Academic Affiliation
- Journal Title
- Journal Issue/Number
- 1
- Journal Volume
- 62
- Subject
- 最新修改
- 2019-12-05
- Resource Type
- 权利声明
- DOI
- ISSN
- 1540-5907
- Language
关系
项目
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haveYourCakeAndEatItTooCointegrationAndDynamicInferenc.pdf | 2019-12-05 | 公开 | 下载 |