Cambridge University Press eBooks· 2012· Book chapter
An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis
- 3,942citations
- 2012year
Short summary
This paper demonstrates that appropriately augmented Autoregressive Distributed Lag (ARDL) models can provide super-consistent estimators for long-run cointegrating relationships, even with I(1) variables, allowing valid inferences using standard asymptotic theory.
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General Economics, Econometrics and FinanceEconomics, Econometrics and Finance