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IntroductionARDL modelBounds testingStata syntaxExampleConclusionardl: Stata module to estimateautoregressive distributed lag modelsSebastian Kripfganz1 Daniel C. Schneider21 University of Exeter Business School, Department of Economics, Exeter, UK2 Max Planck Institute for Demographic Research, Rostock, GermanyStata ConferenceChicago, July 29, 2016net install ardl, from( )S. Kripfganz and D. C. Schneiderardl: Stata module to estimate autoregressive distributed lag models1/20 IntroductionARDL modelBounds testingStata syntaxExampleConclusionARDL: autoregressive distributed lag modelThe autoregressive distributed lag (ARDL)1model is beingused for decades to model the relationship between(economic) variables in a single-equation time-series popularity also stems from the fact that cointegration ofnonstationary variables is equivalent to an error-correction(EC) process, and the ARDL model has a reparameterizationin EC form(Engle and Granger, 1987; Hassler and Wolters, 2006).
Bayesian information criterion (BIC).4 3 For a full set of assumptions see Pesaran, Shin, and Smith (2001). 4 The BIC is also known as the Schwarz or Schwarz-Bayesian information criterion. S. Kripfganz and D. C. Schneider ardl: Stata module to estimate autoregressive distributed lag models 8/20
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