Recent developments of the autoregressive distributed lag modelling framework

Jin Seo Cho; Matthew Greenwood-Nimmo; Yongcheol Shin

doi:10.1111/joes.12450

Recent developments of the autoregressive distributed lag modelling framework

Jin Seo Cho, Matthew Greenwood-Nimmo, Yongcheol Shin

Department of Economics

Research output: Contribution to journal › Article › peer-review

40 Citations (Scopus)

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.

Original language	English
Pages (from-to)	7-32
Number of pages	26
Journal	Journal of Economic Surveys
Volume	37
Issue number	1
DOIs	https://doi.org/10.1111/joes.12450
Publication status	Published - 2023 Feb

Bibliographical note

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© 2021 John Wiley & Sons Ltd.

All Science Journal Classification (ASJC) codes

Economics and Econometrics

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10.1111/joes.12450

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Recent developments of the autoregressive distributed lag modelling framework

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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