Relevant bibliographies by topics / Autoregressive Distributed Lag

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers

Academic literature on the topic 'Autoregressive Distributed Lag'

Author: Grafiati
Published: 4 June 2021
Last updated: 12 February 2022

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Journal articles on the topic "Autoregressive Distributed Lag"

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Hassler, Uwe, and Jürgen Wolters. "Autoregressive distributed lag models and cointegration." Allgemeines Statistisches Archiv 90, no. 1 (March 2006): 59–74. http://dx.doi.org/10.1007/s10182-006-0221-5.

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Ningrum, Dewi Kusuma, and Sugiyarto Surono. "Comparison the Error Rate of Autoregressive Distributed Lag (ARDL) and Vector Autoregressive (VAR) (Case study: Forecast of Export Quantities in DIY)." JURNAL EKSAKTA 18, no. 2 (September 27, 2018): 167–77. http://dx.doi.org/10.20885/eksakta.vol18.iss2.art8.

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Forecasting is estimating the size or number of something in the future. Regression model that enters current independent variable value, and lagged value is called distributed-lag model, if it enters one or more lagged value, it is called autoregressive. Koyck method is used for dynamic model which the lagged length is unknown, for the known lagged length it is used the Almon method. Vector Autoregressive (VAR) is a method that explains every variable in the model depend on the lag movement from the variable itself and all the others variable. This research aimed to explain the application of Autoregressive distributed-lag model and Vector Autoregressive (VAR) method for the forecasting for export amount in DIY. It takes export amount in DIY and inflation data, kurs, and Indonesias foreign exchange reserve. Forecasting formation: defining Koyck and Almon distributed-lag dynamic model, then the best model is chosen and distribution-lag dynamic forecasting is performed. After that it is performed stationary test, co-integration test, optimal lag examination, granger causality test, parameter estimation, VAR model stability, and performs forecasting with VAR method. The forecasting result shows MAPE value from ARDL method obtained is 0.475812%, while MAPE value from VAR method is 0.464473%. Thus it can be concluded that Vector Autoregressive (VAR) method is more effective to be used in case study of export amount in DIY forecasting. Keywords: Koyck; Almon; Lag; Autoregressive Distributed-Lag; Vector Autoregressive;
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McNown, Robert, Chung Yan Sam, and Soo Khoon Goh. "Bootstrapping the autoregressive distributed lag test for cointegration." Applied Economics 50, no. 13 (August 21, 2017): 1509–21. http://dx.doi.org/10.1080/00036846.2017.1366643.

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Lal Shrestha, Srijan. "Particulate Air Pollution and Daily Mortality in Kathmandu Valley, Nepal: Associations and Distributed Lag." Open Atmospheric Science Journal 6, no. 1 (April 20, 2012): 62–70. http://dx.doi.org/10.2174/1874282301206010062.

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The distributed lag effect of ambient particulate air pollution that can be attributed to all cause mortality in Kathmandu valley, Nepal is estimated through generalized linear model (GLM) and generalized additive model (GAM) with autoregressive count dependent variable. Models are based upon daily time series data on mortality collected from the leading hospitals and exposure collected from the 6 six strategically dispersed fixed stations within the valley. The distributed lag effect is estimated by assigning appropriate weights governed by a mathematical model in which weights increased initially and decreased later forming a long tail. A comparative assessment revealed that autoregressive semiparametric GAM is a better fit compared to autoregressive GLM. Model fitting with autoregressive semi-parametric GAM showed that a 10 μg m rise in PM is associated with 2.57 % increase in all cause mortality accounted for 20 days lag effect which is about 2.3 times higher than observed for one day lag and demonstrates the existence of extended lag effect of ambient PM on all cause deaths. The confounding variables included in the model were parametric effects of seasonal differences measured by Fourier series terms, lag effect of mortality, and nonparametric effect of temperature represented by loess smoothing. The lag effects of ambient PM remained constant beyond 20 days.
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Lopo, Alexandre Boleira, Maria Helena Constantino Spyrides, Paulo Sérgio Lucio, and Javier Sigró. "UV Index Modeling by Autoregressive Distributed Lag (ADL Model)." Atmospheric and Climate Sciences 04, no. 02 (2014): 323–33. http://dx.doi.org/10.4236/acs.2014.42033.

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Kiviet, Jan F., and Jean-Marie Dufour. "Exact tests in single equation autoregressive distributed lag models." Journal of Econometrics 80, no. 2 (October 1997): 325–53. http://dx.doi.org/10.1016/s0304-4076(97)00048-1.

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Sam, Chung Yan, Robert McNown, and Soo Khoon Goh. "An augmented autoregressive distributed lag bounds test for cointegration." Economic Modelling 80 (August 2019): 130–41. http://dx.doi.org/10.1016/j.econmod.2018.11.001.

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Cho, Jin Seo, Tae-hwan Kim, and Yongcheol Shin. "Quantile cointegration in the autoregressive distributed-lag modeling framework." Journal of Econometrics 188, no. 1 (September 2015): 281–300. http://dx.doi.org/10.1016/j.jeconom.2015.05.003.

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Surekha, K. "Modeling Nonlinear Autoregressive Distributed Lag Models: A New Approach." Journal of Quantitative Economics 3, no. 1 (January 2005): 101–14. http://dx.doi.org/10.1007/bf03404778.

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Chikri, Hassan, Adil Moghar, Manar Kassou, and Faris Hamza. "New evidence from NARDL model on CO2 emissions: Case of Morocco." E3S Web of Conferences 234 (2021): 00026. http://dx.doi.org/10.1051/e3sconf/202123400026.

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The main objective of this study is to examine the effect of sickle energy consumption, renewable energy, and forest area on the emission of carbon dioxide (CO2) in Morocco. Many studies have abord this subject using a different approachs, most of which have used econometric models such as Vector Autoregressive (VAR) Error Correction Model (ECM) and Autoregressive Distributed Lag (ARDL). In this study, we opted for the Non-linear Autoregressive Distributed Lag (NARDL) model. The data used covers the period from 1990 to 2018 (annual data). The results of our model are significant and prove the asymmetric effects of the explanatory variables on CO2 emissions.
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Dissertations / Theses on the topic "Autoregressive Distributed Lag"

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Laniran, Temitope J. "Impact of state fragility on capital flows and economic growth in Nigeria." Thesis, University of Bradford, 2018. http://hdl.handle.net/10454/17218.

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This thesis aims to investigate the impact of state fragility on capital inflows and economic growth in Nigeria over the period 1980-2015. In line with existing studies, it adopts an augmented neoclassical growth model where capital is divided into domestic and foreign capital inflows (FDI, ODA and Remittances). Using an autoregressive distributed lag (ARDL) bounds testing approach to co-integration, significant long-run relationship was confirmed between state fragility, capital flows and economic growth. The results reveal domestic capital to be very significant and contribute positively to economic growth. Similarly it was observed that remittances remain a very crucial form of capital flow to Nigeria and that the presence of state fragility makes it more significant. For ODA a positive contribution to economic growth was observed, however, the presence of state fragility renders it insignificant. In the case of FDI, the study found a negative relationship between FDI and economic growth albeit insignificant. However, the presence of state fragility makes it significant but still negative. A negative relationship was also observed between state fragility and economic growth. These findings, implies that while the issue of state fragility needs to be addressed and concerted efforts put into building state resilience, not just for the direct impact of state fragility on the economy, but also its impact on the economy through other channels such as capital flows.
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Chetty, Roheen. "An Analysis of the Finance Growth Nexus in Nigeria." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/33430.

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This study empirically examines the relationship between financial development and economic growth in Nigeria. It employs statistical techniques such as the Autoregressive Distributed Lag approach as well as a short and long run Granger Causality test on time series data spanning from 1960-2016. Empirical results reveal that the financial development indicators have a long run relationship with economic growth in Nigeria and the existence of unidirectional and bidirectional Granger causality was also discovered. This study recommends that policy should be geared towards promoting financial development in the country as well as encouraging more financial depth and openness – in order to foster economic growth in Nigeria.
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Olfati, Ronak. "The Impact of Oil Revenue on the Iranian Economy." Thesis, University of Bradford, 2018. http://hdl.handle.net/10454/16834.

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This study aims to identify the effects of oil income on economic growth in Iran over the period 1955-2014. The empirical literature indicates that countries with natural resources are growing more slowly than their counterparts. However, the results from this literature are far from conclusive, particularly in regard to the role played by oil-rich countries. Needless to say, this role depends on other factors as well, including the political situation in the country, the quality of institutions, and the efficacy of the financial system. Some empirical research has found that natural resources, particularly oil, can have a positive impact on the output of a country. although natural resources are not a factor of production in growth theories, studies have used different growth frameworks in order to discover whether having natural resources is a blessing or a curse. In line with recent studies, this work uses an augmented neoclassical growth model to develop a theoretical framework where oil enters the long-term output of the country through saving and investment. Overall, the results suggests that oil income has a positive impact on the level of output per capita in Iran. The findings of the econometric results are in line with the historical analysis of the study. Since different methods and proxies were used, a total of eight models were estimated. Interestingly, when PRIVY is used as an index of financial development, the result of the study changes and oil no longer has a significant impact on the economy. However, this can be translated to an inefficient allocation of credit to the private sector.
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Louw, Riëtte. "Forecasting tourism demand for South Africa / Louw R." Thesis, North-West University, 2011. http://hdl.handle.net/10394/7607.

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Tourism is currently the third largest industry within South Africa. Many African countries, including South Africa, have the potential to achieve increased economic growth and development with the aid of the tourism sector. As tourism is a great earner of foreign exchange and also creates employment opportunities, especially low–skilled employment, it is identified as a sector that can aid developing countries to increase economic growth and development. Accurate forecasting of tourism demand is important due to the perishable nature of tourism products and services. Little research on forecasting tourism demand in South Africa can be found. The aim of this study is to forecast tourism demand (international tourist arrivals) to South Africa by making use of different causal models and to compare the forecasting accuracy of the causal models used. Accurate forecasts of tourism demand may assist policy–makers and business concerns with decisions regarding future investment and employment. An overview of South African tourism trends indicates that although domestic arrivals surpass foreign arrivals in terms of volume, foreign arrivals spend more in South Africa than domestic tourists. It was also established that tourist arrivals from Africa (including the Middle East), form the largest market of international tourist arrivals to South Africa. Africa is, however, not included in the empirical analysis mainly due to data limitations. All the other markets namely Asia, Australasia, Europe, North America, South America and the United Kingdom are included as origin markets for the empirical analysis and this study therefore focuses on intercontinental tourism demand for South Africa. A review of the literature identified several determinants of tourist arrivals, including income, relative prices, transport cost, climate, supply–side factors, health risks, political stability as well as terrorism and crime. Most researchers used tourist arrivals/departures or tourist spending/receipts as dependent variables in empirical tourism demand studies. The first approach used to forecast tourism demand is a single equation approach, more specifically an Autoregressive Distributed Lag Model. This relationship between the explanatory variables and the dependent variable was then used to ex post forecast tourism demand for South Africa from the six markets identified earlier. Secondly, a system of equation approach, more specifically a Vector Autoregressive Model and Vector Error Correction Model were estimated for each of the identified six markets. An impulse response analysis was undertaken to determine the effect of shocks in the explanatory variables on tourism demand using the Vector Error Correction Model. It was established that it takes on average three years for the effect on tourism demand to disappear. A variance decomposition analysis was also done using the Vector Error Correction Model to determine how each variable affects the percentage forecast variance of a certain variable. It was found that income plays an important role in explaining the percentage forecast variance of almost every variable. The Vector Autoregressive Model was used to estimate the short–run relationship between the variables and to ex post forecast tourism demand to South Africa from the six identified markets. The results showed that enhanced marketing can be done in origin markets with a growing GDP in order to attract more arrivals from those areas due to the high elasticity of the real GDP per capita in the long run and its positive impact on tourist arrivals. It is mainly up to the origin countries to increase their income per capita. Focussing on infrastructure development and maintenance could contribute to an increase in future tourist arrivals. It is evident that arrivals from Europe might have a negative relationship with the number of hotel rooms available since tourists from this region might prefer accommodation with a safari atmosphere such as bush lodges. Investment in such accommodation facilities and the marketing of such facilities to Europeans may contribute to an increase in arrivals from Europe. The real exchange rate also plays a role in the price competitiveness of the destination country. Therefore, in order for South Africa to be more price competitive, inflation rate control can be a way to increase price competitiveness rather than to have a fixed exchange rate. Forecasting accuracy was tested by estimating the Mean Absolute Percentage Error, Root Mean Square Error and Theil’s U of each model. A Seasonal Autoregressive Integrated Moving Average (SARIMA) model was estimated for each origin market as a benchmark model to determine forecasting accuracy against this univariate time series approach. The results showed that the Seasonal Autoregressive Integrated Moving Average model achieved more accurate predictions whereas the Vector Autoregressive model forecasts were more accurate than the Autoregressive Distributed Lag Model forecasts. Policy–makers can use both the SARIMA and VAR model, which may generate more accurate forecast results in order to provide better policy recommendations.
Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2011.
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Torres, Luís Filipe Nunes Pardal Esteves. "Modelling the demand for military expenditure in Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/6540.

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Mestrado em Economia
Throughout history, countries from all over the world have devoted a considerable amount of resources to produce security. This evidence has motivated a growing number of studies that examine the determinants of the demand for military expenditure. Albeit the difficulty to develop a general theoretical framework and the inexistence of a standard empirical approach to model the demand for military expenditure, it is an important issue to understand which factors may influence the military expenditure demand function of a country. The aim of this dissertation is to find out the main variables affecting the Portuguese military expenditure taking into account a comprehensive set of economic, strategic and political determinants. For this goal, a military expenditures demand model is constructed for the period 1960–2010 employing the Autoregressive Distributed Lag (ARDL) bound testing cointegration approach. The results suggest that the Portuguese defence spending is determined by the country´s economic performance, allies‟ defence speeding and security considerations. As far as the domestic political environment is concerned, the dominant ideology of the party in power seems to be insignificant, while the transition to a democratic regime is considered a relevant determinant with a negative effect on the military expenditure.
Ao longo da história, países de todo o mundo têm empenhado uma quantidade considerável de recursos para produzir segurança. Esta constatação tem motivado um número crescente de estudos sobre as possíveis variáveis explicativas da despesa militar. Apesar da dificuldade em estabelecer um quadro teórico de referência e da inexistência de uma abordagem empírica padronizada para determinar a procura de despesa militar, revela-se importante compreender quais as variáveis que influenciam a despesa militar de um país. O objetivo deste trabalho é aferir quais as principais fatores que poderão determinar a despesa militar de Portugal, tendo em conta um amplo conjunto de variáveis de natureza económica, estratégica e política. A prossecução deste objetivo assenta na construção de uma equação de procura para a despesa militar portuguesa, para o período compreendido entre 1960 e 2010, através de um modelo uniequacional ARDL. Os resultados obtidos sugerem que a despesa militar em Portugal é determinada pelo desempenho económico, pelo gasto militar de países aliados e por considerações relativas à perceção das condições de segurança. No que respeita à influência do ambiente político, a ideologia dominante do partido em funções no Governo surge como não significante, ao passo que a transição para um regime democrático é considerada uma variável relevante, com um efeito negativo sobre as despesas militares.
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Bakin, Bilge. "The Causal Relationships Among Economic Growth, Foreign Direct Investment And Financial Sector Development In East Asian Countries: An Ardl Approach." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613256/index.pdf.

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The main purpose of the study is to examine the cointegration relationships among economic growth, foreign direct investment and financial sector development in 4 East Asian countries, namely Korea, Malaysia, the Philippines and Thailand between the years 1971-2008 by autoregressive distributed lag (ARDL) approach. In the existing literature, there is no study examining the causal relationships among economic growth, foreign direct investment and financial sector development by applying ARDL methodology for these East Asian countries. The contribution of this study to the literature, the cointegration relationships are constructed to observe the direct linkage among these variables by ARDL approach. If cointegration relationships exist among these variables, then the effect of each regressor on the dependent variable is also investigated. The results of the study indicate that foreign direct investment and financial sector development could be long run forcing variables of economic growth. Additionally, economic growth and financial sector development could be long run forcing variables of foreign direct investment. However, there is not sufficient evidence that economic growth and foreign direct investment together are long run key determinants of financial sector development in a country as obtained in this study.
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Van, Wyk Daniel Nicolaas. "A quantitative analysis of supply response in the Namibian mutton industry." Thesis, Stellenbosch : University of Stellenbosch, 2011. http://hdl.handle.net/10019.1/6803.

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Thesis (MScEng (Industrial Engineering))--University of Stellenbosch, 2011.
ENGLISH ABSTRACT: In terms of its contribution to the agricultural economic activity in Namibia, the small stock industry is the most important sector, second only to the beef industry. This sector makes a significant contribution to the agricultural business in Namibia due to the sector’s exports, its provision of employment, use of natural resources, contribution to GDP and to consumer spending as well as food security. Agricultural activities in Namibia contributed 5.5 percent to Namibia’s GDP, while 70 percent of the population relies on agriculture for employment and day-to-day living. Livestock farming in Namibia is free ranging on natural pastures and therefore produces high-quality meat that is in high demand in both the national and international markets. Small stock production in Namibia is unstable due to the high variability of weather patterns, changes in economic and social environments, unpredictable droughts as well as political and structural changes. Due to the decline in mutton production over the last years, research in the supply economics of the mutton industry in Namibia is important. The purpose of this study is to investigate the relationships between the various price and non-price factors contributing to the supply dynamics within the mutton industry in Namibia. Two hypotheses are tested with the aid of econometric modelling techniques on monthly time series data. The Autoregressive Distributed Lag approach to co-integration was used to determine the long-run and short-run supply response elasticities towards economic and climatology factors. Results showed a significant long-run relationship between the average Namibian mutton producer price and mutton supply. Results revealed that a one percent increase in the mutton producer price leads to a 1.97 percent increase in mutton supply. Beef producer price, a substitute product to mutton, showed a significant negative long-run effect towards mutton production whereas rainfall showed a meaningful positive long-run contribution to mutton supply. These supply shifters towards mutton production also showed significant short-run elasticities. Results further revealed that the system takes nearly two months to recover to the long-run supply equilibrium, should any disturbances occur within the supply system. The study showed that price-related and climatological factors play a major role in the Namibian mutton production industry. Industry stakeholders and policy makers should therefore incorporate these significant relationships between supply shifters and production output into future decisions and marketing policies to secure a healthy, growing and sustainable mutton industry in Namibia.
AFRIKAANSE OPSOMMING: In terme van bydrae tot die landboubedryf in Namibië is die kleinveebedryf die tweede belangrikste sektor, net kleiner as die land se grootveebedryf. Die sektor maak ‘n betekenisvolle bydrae tot die landboubedryf in Namibië deur middel van werkskepping, die gebruik van natuurlike hulpbronne, bydrae tot Bruto Binnelandse Produk, uitvoere, verbruikersbesteding sowel as voedselsekerheid. Landbou-aktiwiteite dra by tot 5,5 persent van die Bruto Binnelandse Produk van ‘n land waar meer as 70 persent van die bevolking afhanklik is van landbou om ‘n bestaan te kan maak. Veeboerdery in Namibië geskied ekstensief op natuurlike veld wat lei tot die produksie van ‘n hoë kwaliteit produk, wat hoog in aanvraag is in plaaslike en internasionale markte. Kleinvee produksie in Namibië is onstabiel as gevolg van fluktuasies in weerpatrone, veranderings in ekonomiese en sosiale omgewings, onvoorspelbare droogtes asook politieke- en struktuurveranderinge. As gevolg van die huidige afname in skaapvleis produksie is navorsing in die aanbodkantekonomie van die skaapvleisbedryf belangrik in Namibië. Die doel van hierdie studie is om die verwantskap te ondersoek tussen verskeie prys en nie-prys faktore wat bydra tot die aanboddinamika van die skaapvleisbedryf. Twee hipoteses word getoets met behulp van ekonometriese modelleringstegnieke op maandelikse tydreeksdata. ‘n Outoregressiewe verspreide sloeringbenadering tot ko-integrasie is gebruik om die langtermyn en korttermyn elastisiteite tussen ekonomiese en klimaatsfaktore vir die aanbod van skaapvleis te bepaal. Resultate dui op ‘n betekenisvolle langtermyn verwantskap tussen die gemiddelde Namibiese produsente prys en skaapvleis produksie. Resultate wys daarop dat ‘n een persent styging in skaapvleis produsente prys ‘n 1,97 persent styging in skaapvleis aanbod het. Die beesvleis produsente prys, ‘n substituut vir skaapvleis, het ‘n beduidende negatiewe effek getoon oor die langtermyn op skaapvleis produksie. Reënval het ‘n beduidende positiewe bydrae getoon ten opsigte van skaapvleis aanbod. Hierdie aanbodsfaktore het betekenisvolle korttermyn elastisiteite getoon. Resultate het ook getoon dat die stelsel twee maande neem om te herstel tot die langtermyn aanbodsewewig, sou daar enige drastiese veranderings in die stelsel plaasvind. Die studie het getoon dat prysverwante en klimaatsfaktore ‘n uiters prominente rol speel met betrekking tot skaapvleisproduksie in Namibië. Bedryfsaandeelhouers en politieke leiers sal hierdie betekenisvolle verwantskappe tussen produksie faktore en aanbod uitset in ag moet neem in toekomstige beplanning en bemarkingsbeleid om ‘n gesonde, groeiende en volhoubare skaapvleisbedryf in Namibië te verseker.
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Král, Ondřej. "Phillipsova křivka z pohledu analýzy časových řad v České republice a Německu." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-360701.

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Government fiscal and monetary policy has long been based on the theory that was neither proven nor refuted since its origination. The original form of the Phillips curve has undergone significant modifications but its relevance remains questionable. This thesis examines the correlation between inflation and unemployment observed in the Czech Republic and Germany over the last twenty years. The validity of the theory is tested by advanced methods of time series analysis in the R environment. All the variables are gradually tested which results in the assessment of the correlation between the time series. The outcome of the testing is presented for both countries and a comparison at international level is drawn. Is is discovered that both of the countries have dependencies in their data. Czech republic has significant dependency in both ways, for Germany is the dependency significantly weaker and only in one way.
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Erdem, Fatma Pinar. "Business Cycles In Emerging Economies." Phd thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613853/index.pdf.

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Until very recently, most emerging market economies have achieved higher growth rates for the last decade. It is controversial whether this good economic environment is due to domestic reforms or due to favorable external factors. In this framework, the main aim of this study is to investigate the structure and sources of business cycles in emerging market economies and to determine how these cycles differ than those in developed countries. The role of external and domestic factors on business cycles are analyzed by applying not only the conventional panel data estimations but also common correlated effects panel mean group method which is introduced by Peseran (2006). Besides, the convergence of business cycles in emerging market economies to the business cycles in developed countries is discussed based on factor analysis. The major results indicate the common global factors are the leading source of the business cycles both in emerging market economies and developed countries. However, domestic determinants of fluctuations differ across two groups of countries. In addition, results show that in the last two decades fluctuations in emerging market economies have started to be more dependent on the fluctuations in developed countries.
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Sagir, Serhat. "Effects Of Monetary Policy On Banking Interest Rates: Interest Rate Pass-through In Turkey." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613717/index.pdf.

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In this study, the effects of CBRT monetary policy decisions on the consumer, automobile, housing and commercial loans of the banks during the period from the early of 2004 to the middle of 2011 are examined. In order to perform this study, it is benefited from weekly weighted average loan interest rate data of the banks, which is the data having the highest frequency that could be obtained from the electronic data distribution system of CBRT. Monetary policy instruments of Central Bank may change in the course of time or monetary policy could be executed by more than one instrument. Therefore, as the political interest rate would be insufficient in the calculation of the effect of monetary policy on loan interest rates of the banks, Government Dept Securities&rsquo
premiums are used instead of the political interest rates in this study to make it reflect the policies of central bank more clearly as a whole. Among the Government Dept Securities that have different maturity structure, benchmark bonds that are adapted to the expected political interest rate changes and that react to the unexpected interest rate changes at the high rate (reaction coefficient 0.983) are used. In order to weight the cointegration relation between interest rates, unrestricted error correction model is established and it is determined by Bound Test that there is a long-term relation between each interest rate and interest rate of benchmark bond. After a cointegration relation is determined among the serials, autoregressive distributed lag model is used to determine the level of transitivity and it is determined that monetary policy decisions affect the banking interest rate at 77% level and by 13 weeks delay on average.
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Books on the topic "Autoregressive Distributed Lag"

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Pesaran, Hashem. An autoregressive distributed lag modelling approach to cointegration analysis. Cambridge: Department of Applied Economics, University of Cambridge, 1995.

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Book chapters on the topic "Autoregressive Distributed Lag"

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Phong, Le Hoang, Ho Hoang Gia Bao, and Dang Thi Bach Van. "Testing J-Curve Phenomenon in Vietnam: An Autoregressive Distributed Lag (ARDL) Approach." In Econometrics for Financial Applications, 491–503. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-73150-6_39.

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Phong, Le Hoang, Dang Thi Bach Van, and Ho Hoang Gia Bao. "A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis on the Determinants of Vietnam’s Stock Market." In Beyond Traditional Probabilistic Methods in Economics, 363–76. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-04200-4_27.

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Rahmouni, Abdelwahab, Mohamed Meddi, and Hafsa Karahaçane. "Modeling and Forcasting of Surface Runoff in the Beni Bahdel Dam: Using ARDL Model (Autoregressive Distributed Lag)." In Recent Advances in Environmental Science from the Euro-Mediterranean and Surrounding Regions, 823–24. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-70548-4_241.

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Belke, Ansgar. "Wechselkursunsicherheit und der deutsche Arbeitsmarkt: Eine Kointegrationsanwendung des Autoregressiven Distributed-Lag-Ansatzes." In Wirtschaftswissenschaftliche Beiträge, 574–643. Heidelberg: Physica-Verlag HD, 2001. http://dx.doi.org/10.1007/978-3-642-57614-0_9.

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Mills, Terence C. "Transfer Functions and Autoregressive Distributed Lag Modeling." In Applied Time Series Analysis, 201–10. Elsevier, 2019. http://dx.doi.org/10.1016/b978-0-12-813117-6.00012-0.

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Oluwasogo Sunday Adediran and Philip O. Alege. "Autoregressive Distributed Lag Approach to External Credit and Economic Growth in Nigeria." In Applied Econometric Analysis, 41–59. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-1093-3.ch003.

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The need for increasing external credit flows to boost economic activity has exposed Nigeria to the negative effects of external structural changes. Therefore, an important question of concern in this study is, how does the Nigerian economy grow when there is a decline in external credit? This study attempted to answer this question by comparing the flow of external credit to economic activities. This is a distinction from previous studies that had compared stock of external credit to economic activities. Using annual data covering 36 years for the period 1980-2016, the study adopted the neoclassical growth model and estimated the model using the Autoregressive Distributed Lag (ARDL) approach. The study argued that, to the extent that expenditure is credit financed, GDP should be a function of credit flow, which is new borrowing.
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Ari, Yakup. "The Impact of USD-TRY Forex Rate Volatility on Imports to Turkey from Central Asia." In Economic, Educational, and Touristic Development in Asia, 70–89. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-2239-4.ch004.

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The purpose of this study is to put out the impact of volatility of the USD-TRY forex rate on imports to Turkey from Central Asia. The volatility of the USD/TRY exchange rate is analysed with a conditional variance model which is Generalised Autoregressive Conditional Heteroscedastic (GARCH) model and its extensions. The other section of the methodology is an application of Autoregressive Distributed Lag (ARDL) bounds test which is an efficient approach to determine the cointegration, long-term and short-term relations between macroeconomic variables. The exponential GARCH volatility of the exchange rate and the monthly trade data between the years 2005 and 2018 are used in the ARDL bounds test.
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Chaabouni, Sami, and Chokri Abednnadher. "The Determinants of Health Expenditures in Tunisia." In Health Economics and Healthcare Reform, 253–67. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-3168-5.ch015.

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This article examines the determinants of health expenditures in Tunisia during the period 1961-2008, using the Autoregressive Distributed Lag (ARDL) approach by Pesaran et al. (2001). The results of the bounds test show that there is a stable long-run relationship between per capita health expenditure, GDP, population ageing, medical density and environmental quality. In fact, on the one hand there are the short-run and long-run results which reveal that health care is a necessity, not a luxury good. On the other hand, results of the causality test show that there is a bidirectional causal flow from health expenditures to income, both in the short and in the long run.
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Chakrabarti, Gagari, and Chitrakalpa Sen. "Green Convergence in Emerging Nations." In Handbook of Research on Global Indicators of Economic and Political Convergence, 448–73. IGI Global, 2016. http://dx.doi.org/10.4018/978-1-5225-0215-9.ch020.

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Convergence in growth for emerging nations has always been an important topic of economic discourse. This study looks into the growth convergence of selected basket of emerging nations towards selected basket of developed nations using Autoregressive Distributed Lag (ARDL) framework. The findings of the study show that not only the economic indicators of the respective emerging nations are responsible towards narrowing the per capita GDP differential between developed and emerging nations, but also the differentials of economic indicators between developed and emerging nations are important. This helps towards answering the paradoxical question why in spite of taking the best measures the developing countries are unable to match up with their developed counterparts' per capita GDP. Finally, the study shows significant positive relationship between GDP growth rate and carbon dioxide emission.
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Chakrabarti, Gagari, and Chitrakalpa Sen. "Green Convergence in Emerging Nations." In Foreign Direct Investments, 1554–80. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-2448-0.ch069.

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Convergence in growth for emerging nations has always been an important topic of economic discourse. This study looks into the growth convergence of selected basket of emerging nations towards selected basket of developed nations using Autoregressive Distributed Lag (ARDL) framework. The findings of the study show that not only the economic indicators of the respective emerging nations are responsible towards narrowing the per capita GDP differential between developed and emerging nations, but also the differentials of economic indicators between developed and emerging nations are important. This helps towards answering the paradoxical question why in spite of taking the best measures the developing countries are unable to match up with their developed counterparts' per capita GDP. Finally, the study shows significant positive relationship between GDP growth rate and carbon dioxide emission.
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Conference papers on the topic "Autoregressive Distributed Lag"

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Hamid, Mohd Fahmi Abdul, and Ani Shabri. "Palm oil price forecasting model: An autoregressive distributed lag (ARDL) approach." In THE 3RD ISM INTERNATIONAL STATISTICAL CONFERENCE 2016 (ISM-III): Bringing Professionalism and Prestige in Statistics. Author(s), 2017. http://dx.doi.org/10.1063/1.4982864.

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Wang, Jiasheng. "Forecast GDP with Autoregressive Distributed Lag Model and Dynamic Factor Model." In ICCIR 2021: 2021 International Conference on Control and Intelligent Robotics. New York, NY, USA: ACM, 2021. http://dx.doi.org/10.1145/3473714.3473783.

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Tiedemann, Kenneth H. "Modelling Residential and Commercial Demand for Electricity Using Autoregressive Distributed Lag Models." In Modelling, Identification and Control / 827: Computational Intelligence. Calgary,AB,Canada: ACTAPRESS, 2015. http://dx.doi.org/10.2316/p.2015.826-013.

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Huda, Nur'ainul Miftahul, Utriweni Mukhaiyar, and Udjianna Sekteria Pasaribu. "Forecasting dengue fever cases using autoregressive distributed lag model with outlier factor." In THE 4TH INDOMS INTERNATIONAL CONFERENCE ON MATHEMATICS AND ITS APPLICATION (IICMA 2019). AIP Publishing, 2020. http://dx.doi.org/10.1063/5.0018450.

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Miao, Enming, Pengcheng Niu, Yetai Fei, and Yan Yan. "Application of autoregressive distributed lag model to thermal error compensation of machine tools." In Seventh International Symposium on Precision Engineering Measurements and Instrumentation, edited by Kuang-Chao Fan, Man Song, and Rong-Sheng Lu. SPIE, 2011. http://dx.doi.org/10.1117/12.905451.

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Fitri, Fadhilah, Toni Toharudin, and I. Gede Nyoman Mindra Jaya. "Marine capture fisheries production and intensity of rainfall: An application of autoregressive distributed lag (ARDL) model." In STATISTICS AND ITS APPLICATIONS: Proceedings of the 2nd International Conference on Applied Statistics (ICAS II), 2016. Author(s), 2017. http://dx.doi.org/10.1063/1.4979454.

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Sulaimanova, Burulcha, and Daniyar Jasoolov. "The Impact of Remittances on Economic Growth of Kyrgyzstan." In International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c09.02017.

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The aim of this paper is to study the impact of remittances on the gross domestic product of Kyrgyz Republic, by using several empirical estimation methods, these are: the method of simultaneous equations, the Autoregressive Distributed Lag and Vector Autoregressive models. While there is a long run relationship between remittances and economic growth of Kyrgyzstan, according to the estimation results of the simultaneous models, there is statistically significant positive correlation of households’ final consumption and imports with remittances, and simultaneously significant positive effect of consumption on GDP, and significant, but negative impact of imports to GDP. Moreover, the small but significant impact of remittances on demand for domestic products were found.
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Kutlutürk, Murat Mustafa, Hakan Kasım Akmaz, and Ahmet Çetin. "The Effect of Higher Education on Growth: A Cointegration Analysis." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00797.

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In this study the relationship between higher education and economic growth was investigated using annual data between 1988 and 2012 for Turkey. To see short and long run effects of higher education on growth the Autoregressive Distributed Lag (ARDL) testing approach was used. In this investigation ratio of higher education graduates in employment was used as an explanatory variable. Zivot and Andrews test was implemented for the variables. The long and short run effects of higher education on growth was found significant. Granger causality test was implemented and one way Granger causality from higher education to growth was determined.
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İsmihan, Mustafa, Mustafa Besim, and Kamil Sertoğlu. "The Impact of External Instability and Socio-economic Infrastructure on the Productivity Dynamics of North Cyprus." In International Conference on Eurasian Economies. Eurasian Economists Association, 2019. http://dx.doi.org/10.36880/c11.02350.

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This study aims to explore the long-term productivity dynamics of the economy of the Turkish Republic of Northern Cyprus by using a simple Autoregressive Distributed Lag (ARDL) Model. More specifically, we aim to analyze the impact of macroeconomic instability and socio-economic infrastructure on total factor productivity over the 1977-2017 period. Additionally, this study develops a socio-economic infrastructure index by combining information from communication, energy, education and health indicators. The main result of this paper is that while total factor productivity is positively and significantly affected by the improvements in socio-economic infrastructure it is negatively affected from the external macroeconomic instability.
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Çetintaş, Hakan, and Damira Baigonushova. "Testing the Relationship Between Government Spending and Revenue: Case of Kyrgyzstan." In International Conference on Eurasian Economies. Eurasian Economists Association, 2016. http://dx.doi.org/10.36880/c07.01473.

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Sound fiscal policy is very important to promote price stability and sustainable growth in real economy. Thus, understanding the relationship between government spending and revenue is also essential to evaluate how to address fiscal imbalances. So, the focus of this research is to investigate the relationship between government revenue and spending in Kyrgyzstan. For this purpose, we have used an Autoregressive Distributed Lag (ARDL), also Variance Decomposition approach and found that these two data are cointegrated. Findings support “the tax- spend hypothesis” for fiscal discipline in Kyrgyzstan over the period of 1995-2014. In other words, according to the results, increase in real government revenue results in even higher public expenditure.
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