Recent developments of the autoregressive distributed lag modelling framework |
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| Authors: | Jin Seo Cho Matthew Greenwood-Nimmo Yongcheol Shin |
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| Affiliation: | 1. School of Humanities and Social Sciences, Beijing Institute of Technology, Haidan, Beijing, China;2. Faculty of Business and Economics, University of Melbourne, Carlton, VIC, Australia;3. Department of Economics and Related Studies, University of York, Heslington, York, UK |
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| Abstract: | 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 non-linear generalisations of the ARDL model, the quantile ARDL model, the pooled mean group dynamic panel data model and the spatio-temporal ARDL model. |
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| Keywords: | autoregressive distributed lag (ARDL) model asymmetry non-linearity and threshold effects panel data quantile regression spatial analysis |
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