Academic literature on the topic 'Autoregressive Distributed Lagged Model (ARDL)'
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Journal articles on the topic "Autoregressive Distributed Lagged Model (ARDL)"
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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 (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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Peverga, Kator. "Trade Openness and Economic Growth in Nigeria: An Autoregressive Distributed Lagged (ARDL) Model Approach." International Journal of Research and Innovation in Social Science VIII, no. IV (2024): 248–61. http://dx.doi.org/10.47772/ijriss.2024.804020.
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The rationale behind undertaking this study stems from the observation that prior studies have failed to establish a consensus regarding the impact of trade openness on economic growth, largely due to research methodological deficiencies. Thus, this study investigated thе impact of tradе opеnnеss on Nigеria’s еconomic growth from 1980 to 2022. Thе Autorеgrеssivе Distributеd Laggеd (ARDL) Modеl was usеd to dеtеrminе thе long-run and short-run еffеcts of thеsе variablеs. Thе rеsults show that tradе opеnnеss positivеly impacts Nigеria’s long-tеrm еconomic growth, that is increased trade liberalization leads to increased long-run growth. The study recommends Nigeria’s government to promote trade libеralization, rеducе barriеrs, and еnhancе tradе tеrms by divеrsifying еxports and adding valuе.
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Xiao, Hui, and Yiguo Sun. "Forecasting the Returns of Cryptocurrency: A Model Averaging Approach." Journal of Risk and Financial Management 13, no. 11 (2020): 278. http://dx.doi.org/10.3390/jrfm13110278.
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This paper aims to enrich the understanding and modelling strategies for cryptocurrency markets by investigating major cryptocurrencies’ returns determinants and forecast their returns. To handle model uncertainty when modelling cryptocurrencies, we conduct model selection for an autoregressive distributed lag (ARDL) model using several popular penalized least squares estimators to explain the cryptocurrencies’ returns. We further introduce a novel model averaging approach or the shrinkage Mallows model averaging (SMMA) estimator for forecasting. First, we find that the returns for most cryptocurrencies are sensitive to volatilities from major financial markets. The returns are also prone to the changes in gold prices and the Forex market’s current and lagged information. Then, when forecasting cryptocurrencies’ returns, we further find that an ARDL(p,q) model estimated by the SMMA estimator outperforms the competing estimators and models out-of-sample.
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Obadi, Saleh Mothana, and Matej Korcek. "The Relationship between Geopolitical Events and the Crude Oil Prices: An Application of ARDL Model." International Journal of Energy Economics and Policy 14, no. 5 (2024): 85–97. http://dx.doi.org/10.32479/ijeep.16487.
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This paper aims to explore the short-run and long-run relationship between geopolitical events and crude oil prices for the period 2000-2023. In addition to geopolitical events, we included the market factors whose data were available in the right part of the equation. To investigate long-run cointegration, this paper used quarterly data and employed the Autoregressive distributed lagged (ARDL) bounds testing approach developed by (Pesaran et al., 2001). Study findings from the ARDL bound testing approach confirm the existence of a long-run and short-run association between geopolitical events and crude oil prices. Furthermore, the findings from the ARDL model revealed that, among others, world crude oil production; OECD’s crude oil stocks, and OECD economic growth have a significant effect on the dependent variable (crude oil prices) both in the long run and short run.
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Baral, Madhab Prasad. "Auto-regressive Distributed Lag Model on Climate Change Impact on Outmigration in Nepal." Prithvi Academic Journal 8 (May 27, 2025): 13–30. https://doi.org/10.3126/paj.v8i1.78889.
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Climate change exacerbates Nepal's exposure to environmental hazards like landslides, floods, and droughts, which degrade agricultural productivity and drive forced displacement, particularly from rural areas to cities and overseas. This study investigates the interplay of climatic variables (maximum/minimum temperatures, rainfall) and economic indicators (paddy yield, GDP per capita) on human outmigration from 1993 to 2021. Employing time-series analyses, including augmented Dickey-Fuller tests for stationarity, correlation matrices, autoregressive distributed lag (ARDL) models, and error correction mechanisms, we disentangle long- and short-term dynamics. Long-term findings reveal significant relationships (5 percent level) between outmigration and both current and lagged GDP per capita, lagged maximum temperature, lagged rainfall, and lagged migration rates, highlighting delayed climatic impacts and persistent economic influences. Short-term analyses identify GDP per capita (5 percent significance) and prior migration trends (10 percent significance) as immediate drivers, emphasizing path dependency in migration decisions. Granger causality tests demonstrate unidirectional links: minimum temperature Granger-causes outmigration, GDP per capita influences maximum temperature, and paddy yield affects both minimum temperature and GDP per capita (all 5 percent significance). These results underscore the dual pressures of economic precarity and climatic stressors, where declining agricultural productivity and erratic weather patterns synergistically exacerbate migration. The study advocates for integrated policy.
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Maku, Olukayode Emmanuel, Emmanuel Ogbonna Ajike, and Solomon Chimereze Chinedu. "Human Capital Development and Macroeconomic Performance in Nigeria: An Autoregressive Distributed Lag (ARDL) Approach." ETIKONOMI 18, no. 2 (2019): 185–96. http://dx.doi.org/10.15408/etk.v18i2.11701.
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Developed nations continue to invest heavily in the development and training of their human resources. Huge budgetary allocations show it to education and health, yet Nigeria’s human capital development policy has only been effective on paper. This study examined the impact of human capital development on the macroeconomic performance of Nigeria. Using the autoregressive distributed lagged (ARDL) model, this study shows an insignificant negative relationship between human capital development and per capita GDP in the short run. The results also showed that only the tertiary enrolment rate significantly and positively improved per capita GDP within the period under review. The study concluded that the government’s efforts aimed at boosting human capital have been insufficient.JEL Classification: O47, J11, J24
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Khoirina, Jami’atul, Denny Nurdiansyah, and Alif Yuanita Kartini. "AUTOREGRESSIVE DISTRIBUTED LAG MODELING FOR RICE PRICE PREDICTOR ANALYSIS IN BOJONEGORO REGENCY." Jurnal Statistika dan Aplikasinya 9, no. 1 (2025): 89–101. https://doi.org/10.21009/jsa.09108.
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Rice price fluctuations in Bojonegoro Regency are driven by complex interactions of economic, social, and environmental elements. These dynamics have a direct impact on the welfare of low-income households, making it essential to understand the underlying factors to support effective price stabilization efforts. Addressing this issue requires a comprehensive econometric model capable of capturing both immediate and lagged effects of relevant variables. This study analyzes the main drivers of rice price changes in Bojonegoro Regency by applying the Autoregressive Distributed Lag (ARDL) model. It focuses on how variables such as dried corn prices, rice consumption, harvest area, rice production, and money exchange rates contribute to rice price volatility. The ARDL model is employed to explore both short-term and long-term relationships between selected variables and rice prices. Model selection is guided by performance indicators including the Akaike Information Criterion (AIC), Root Mean Square Error (RMSE), R-Square, as well as results from stationarity, cointegration, and classical assumption tests. The study utilizes secondary data sourced from the Bojonegoro Regency Food Security and Agriculture Office and the Bojonegoro Statistics Agency. The optimal model, identified as ARDL (3,4,4,4,4,0), produces an R-Square of 97.13% and the lowest AIC among alternatives. The analysis reveals that dried corn prices, rice consumption, harvest area, and rice production significantly influence rice prices, each with distinct lag structures. The money exchange rate, however, is found to have no significant effect. This study does not account for policy-specific variables or broader external factors such as global climate change or international trade regulations, which may also impact rice prices. Additionally, the availability and quality of secondary data may affect the model’s predictive accuracy. By incorporating lag structures and localized economic factors, this research offers a robust predictive framework tailored to Bojonegoro Regency. It provides practical insights for policymakers aiming to enhance rice price stability and protect household purchasing power.
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Qamruzzaman, Md, and Jianguo Wei. "Financial Innovation, Stock Market Development, and Economic Growth: An Application of ARDL Model." International Journal of Financial Studies 6, no. 3 (2018): 69. http://dx.doi.org/10.3390/ijfs6030069.
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This study aims to explore the relationship between economic growth, financial innovation, and stock market development of Bangladesh for the period 1980–2016. To investigate long-run cointegration, this study used the autoregressive distributed lagged (ARDL) bounds testing approach. In addition, the Granger-causality test is used to identify directional causality between research variables under the error correction term. Study findings from the ARDL bound testing approach confirm the existence of a long-run association between financial innovation, stock market development, and economic growth. Furthermore, the findings from the Granger-causality test support bidirectional causality between financial innovation, economic growth and stock market development, and economic growth both in the long run and short run. These findings support the theory that market-based financial development and financial innovation in the financial system can spur economic development.
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Madaki, Gwong Timothy, and Benedict Akanegbu. "An autoregressive distributed lagged (ARDL) bound testing approach to electricity supply and electricity tariff in Nigeria." Journal of Global Economics and Business 4, no. 13 (2023): 227–43. http://dx.doi.org/10.58934/jgeb.v4i13.149.
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The paper empirically employed the Autoregressive Distributed Lagged (ARDL) Bound Test Approach to evaluate data acquired from the CBN Statistical Bulletin, NBS, MYTO-2015 Distribution Tariffs, NERC, PHCN, NEPA, and WB/WDI Database from 1971 to 2021. The ARDL result estimate indicates that in the short and long run electricity supplies is consequential but no influence on electricity tariff and gross domestic product. This indicates that when electricity supplies grow, so does electricity tariff and gross domestic product; however, the gain is not statistically significant. Long-run and short–run electricity supply has not favor and no influence on per capita income. This suggests that as electricity supply increase, per capita income declines. The ECM coefficient, which represents the disequilibrium, is adjusted and brought back to equilibrium at a rate of 22.9% the next year. The R2 of around (77.9%) percent and the adj-R2 of about (74.4%) percent indicated that the model fit well since these levels of total variations in power supply were explained by changes in the explanatory variables. We concluded that it is essential for the development of the Nigerian electricity supply business to have a tariff that would balance the interaction between electricity supply and electricity tariffs while also ensuring a margin of returns on investment. This study recommends that Federal Government of Nigeria should spend extensively in the transmission subsector of the Nigerian Electricity Supply Industry (NESI) to increase its efficiency. In addition, private sector investment in electricity should be encouraged, as industry predictions for the next decade show a favorable trend, coupled with continuous macroeconomic progress.
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Anarah, Samuel Emeka, Ahaneku Chinwendu Evangel, Ositanwosu Chukwunonso.O, Ogulewe Divine Onyema, and Ezeude Nwando Assumpta. "EFFECT OF CLIMATE CHANGE ON CASSAVA PRODUCTIVITY IN NIGERIA: LONG- AND SHORT-TERM EFFECT." International Journal of Agriculture, Environment and Bioresearch 10, no. 02 (2025): 67–80. https://doi.org/10.35410/ijaeb.2025.5970.
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This study analyzed the effects of climate change on cassava productivity in Nigeria from 1991 to 2022. It assessed how climate variables such as rainfall, temperature, sunshine duration, carbon dioxide emissions, and relative humidity influenced cassava productivity. The research utilized secondary data analyzed through econometric models, including the Autoregressive Distributed Lag (ARDL) model, and the Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) tests. The findings revealed in the long-run, Average Annual Rainfall (LNARF), Average Annual Carbon Dioxide Emissions (LNDACDE), a lagged value of Average Annual Temperature (LNDATEMP (-1)), a lagged value of Average Annual Carbon Dioxide Emissions (LNDACDE (-1)), and Average Annual Sunshine Duration (LNASUN) exhibit significant impacts on cassava productivity. Average Annual Inflation Rate (LNDINFR) were the significant variables that influenced cassava productivity between 1991 and 2022. In the short run, the ARDL model shows that among the climate variables, the current values of average annual rainfall (DLN(ARF)), average annual temperature (DLN(DATEMP)), average annual relative humidity (DLN(DARELH)), average annual sunshine duration (DLN(ASUN)), and the area of land under cassava cultivation (DLN(DALUC_CASSAVA)) exhibit significant impacts on cassava productivity in Nigeria.
Dissertations / Theses on the topic "Autoregressive Distributed Lagged Model (ARDL)"
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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<br>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.<br>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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Ferdi, Fouad. "Dynamique macroéconomique des firmes financiarisées." Thesis, Sorbonne Paris Cité, 2019. http://www.theses.fr/2019USPCD006.
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La question principale de ce travail de recherche est de déterminer le type du régime de croissance économique des pays dits « avancés ». Pour ce faire, j’étudie le schéma d’accumulation du capital au travers du comportement d’investissement des entreprises non financières, afin d’en établir les conséquences en termes de stabilité économique. Je défends l'idée d'une instauration depuis les années 1980 d'un régime de croissance basé, entre autres, sur le capital intangible et financier, dont j'étudie les caractéristiques et les conséquences sur l'économie. A partir de cette hypothèse, je propose de réviser la théorie du profit d’Adrian Wood (1975) à l’aune de ces transformations institutionnelles récentes, afin d’éclairer les dynamiques méso économiques d’accumulation de capital au sein des grandes firmes multinationales. Cette nouvelle vision de la firme financiarisée et mondialisée, est ensuite confrontée à la théorie d’instabilité financière de Hyman Minsky afin d’apporter des éléments de réponse à la problématique de départ. La croissance induite par ces nouveaux comportements d’investissement et de financement peut-elle s’inscrire dans l’approche minskyenne d’une croissance intrinsèquement instable ? La démarche consiste à établir un lien entre, d’une part, les stratégies d’accumulation du capital global (fixe, financier et intangible) et le levier d’endettement des entreprises avec, d’autre part, les conséquences macroéconomiques de la dynamique d’endettement sur la croissance globale<br>The main goal of this thesis was to determine the macroeconomic growth regime of advanced economies. Hence, I addressed the non-financial corporation’s capital accumulation schemes in order to establish their macrodynamics as regard to stability issues. It has been argued that the financialization phenomenon has deeply transformed the growth path by changing NFCs’ habits of investment. Following two major institutional mutations, big multinational firms adapted their investment funding process according to the transformation of the international financial system. They increasingly engaged into financial activities to guaranty a better access to capital next to a better short-run profitability for the sake of shareholders’ value maximization. Their financial holding entities, acting as cash hubs, invested in the excess securities resulting from banks’ new paradigm in dealing with debt, i.e. “generate and distribute”. From another stand, another institutional change affected the production process towards the paradigm of “downsize and distribute”. At the end of the day, to stand steady over these two mutating legs (namely production and its funding) NFCs had to keep control over both. From one side, they engaged into intangibles to lead the global value chain and control production, and from the other, into financial investment to optimize their funding capacity
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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<br>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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Yusof, Yusniliyana. "Socio-economic Development and the Role of Fiscal Decentralisation in Malaysia." Phd thesis, 2018. http://hdl.handle.net/1885/148710.
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Malaysia is one of the countries in the world that has adopted a
unique system of governance that involves monarchy, democracy and
federal system. Nevertheless, all the thirteen states are
governed by employing a federal governance structure headed by
the Prime Minister. Given the federal structure of Malaysian
economy, it is logical to expect the variations in the
socio-economic development across the states. It is interesting
and also important to understand the force behind the variations
across the performance of the states. This thesis first
identifies the significant factors that influence the variation
in economic growth across the states, which is the core factor
determining socio-economic development. Next, the thesis
highlights the influence of the federal system on the development
expenditure of the states, which is crucial for socio-economic
development. Finally, the thesis examines the impact of
decentralisation on transferring the Malaysian economy from the
middle-income country to high-income country. The following
paragraphs briefly explain how the above three main analyses have
been carried out in this thesis.
In Chapter 2, the study contributes to the aim of regional
development policy in reducing regional disparities, by examining
the spatial balance in socio-economic development across the
states of Malaysia based on few selected socio-economic
indicators. Besides, the study has attempted to understand the
issues in the development gaps across the Malaysian states by
evaluating the factors that explained the variation in economic
growth. Though the pattern in the spatial socio-economic
imbalance demonstrates a decreasing trend, the development index
reveals that performance of less developed states remained behind
that of the developed states for more than a decade. Based on
three-stage least squares (3SLS) estimation technique, all
independent variables in the main equation are significant to
explain the development gaps within the states that covers the
period between 2005 and 2015. The significant factors in
explaining the variation in growth across the Malaysian states
are relating to agriculture, manufacturing, human capital,
population growth, Chinese ethnic, institutional factors and
natural resources.
In Chapter 3, the study examines whether there is convergence in
development expenditure across Malaysian states and investigates
the importance of decentralisation in affecting the pattern of
development expenditure during the short run and long run. The
convergence analysis involved the data of annual growth for the
short run, and average three-year and five-year growth for the
long run from 2000 to 2015. The study uses panel data approaches
of pooled OLS, fixed effects and random effects estimation
procedures. The findings provide empirical evidence on the
development expenditure convergence within the states during both
short run and long run. It is also found that all fiscal
decentralisation indicators (state per capita revenue,
state-sourced per capita revenue, state-sourced revenue as a
share of total revenue and state-sourced capacity as a share of
the national average) are imperative in influencing the fiscal
behaviour of state governments in Malaysia. The assistance from
the federal government through transfer payment is needed to
strengthen the expenditure capacity of Malaysian states.
In Chapter 4, the study inspects the role of fiscal
decentralisation as a solution for escaping from the
middle-income trap. The study employed annual time series data
from 1985 to 2015. The Autoregressive Distributed Lag (ARDL)
bounds test reveals the presence of long run relationship between
the levels of the dependent variable (economic growth) and the
regressors (the participation of federal, state and local
governments in the economy, labour force and net exports). The
results of the study offer a possible solution that could help
Malaysia to escape from the stagnant economic growth. It is found
that fiscal decentralisation has a growth effect on Malaysian
economy though the benefits of decentralisation are realised
differently at different levels of government. The positive
impact of revenue decentralisation is realised at the state but
not the local level. In contrast, the opposite results are
reported in the case of expenditure decentralisation. The
benefits of expenditure decentralisation are accomplished at
local but not the state level.
Book chapters on the topic "Autoregressive Distributed Lagged Model (ARDL)"
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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. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-70548-4_241.
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Slesman, Ly. "Natural Resource Rents and Economic Development: Evidence from Brunei Darussalam." In Asia in Transition. Springer Nature Singapore, 2025. https://doi.org/10.1007/978-981-97-6926-1_3.
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Abstract This chapter examines Brunei Darussalam’s economic development from the perspective of an oil and gas-dependent economy. First, using relevant socio-economic indicators, it assesses the economic structures, tracing their evolution to their current forms, the dynamics of Brunei’s reliance on the oil and gas sector, and the relative importance of the non-oil and gas sector in its economic progress. Is Brunei’s experience with oil and gas dependency in line with the ‘resource curse’ or ‘resource blessing’ viewpoints? What do the data say? The analysis provides answers to these questions by quantifying short- and long-run effects of oil and gas rents on economic growth over the 1970–2019 period using the dynamic time series econometric modelling framework of the autoregressive distributed lag (ARDL) model. Given the importance of economic diversification in achieving Wawasan Brunei 2035 (Brunei Vision 2035), the chapter further discusses its progress and challenges.
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Ha, Nguyen Thi Vinh. "Evaluating Impact of Climate Change to Fishing Productivity of Vietnam: An Application of Autoregressive Distributed Lag (ARDL) Regression Model." In Global Changes and Sustainable Development in Asian Emerging Market Economies Vol. 2. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-81443-4_43.
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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. 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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Oluwasogo Sunday Adediran and Philip O. Alege. "Autoregressive Distributed Lag Approach to External Credit and Economic Growth in Nigeria." In Applied Econometric Analysis. 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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Mayow, Maria Aweis, Aytaç Gökmen, and Dilek Temiz. "The Effect of Foreign Direct Investment Inflow on the Economic Growth in Somalia." In Smart Strategies and Societal Solutions for Sustainable International Business. IGI Global, 2023. http://dx.doi.org/10.4018/979-8-3693-0532-4.ch004.
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This study explores the impact of foreign direct investment (FDI) on the economic growth of Somalia in between 1998-2019. To estimate the economic growth model, the study applied the autoregressive distributed lag (ARDL) method. Findings from the study showed that the major drivers of economic growth in the long run are inward FDI, labor stock, domestic investment, and exports. In the short run, the growth drivers are the labor force stock, domestic investment and current FDI stock. It was determined that inflation did not have a significant effect on economic growth in Somalia.
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Mahajan, Punica, and Meenakshi Gupta. "Renewable Energy, Economic Growth, and Environmental Sustainability Links in South Asian Countries." In Advances in Environmental Engineering and Green Technologies. IGI Global, 2025. https://doi.org/10.4018/979-8-3693-9924-8.ch013.
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The present study focuses on how the variables like energy consumption, domestic material consumption, access to clean fuels for cooking and trade openness affect the economic growth and other explanatory variables like renewable energy use and access to clean fuels for cooking affect the Carbon dioxide emissions in the short run and long run of South Asian Economies. So, the study made an attempt to evaluate the impact of above-mentioned variables on economic growth and carbon dioxide emission using the Panel Autoregressive Distributed Lag (ARDL) method. All the preliminary tests including unit root assessments, cross-sectional dependence evaluation, Kao-co-integration etc. were used before applying the ARDL panel model. There is a positive impact of energy consumption, access to clean fuels along with the trade openness (measured by trade¬ as % of GDP) on economic growth. However, the increased domestic material consumption has a negative impact on GDP per capita. Addition to this, the renewable energy consumption is significant and negatively impacts the emissions.
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Essel, Isaac Kojo, Charles Omane-Adjekum, Simon Akumbo Eugene Mbilla, and Enusah Abdulai. "Disaggregated Environmental Taxes on Energy Intensity." In Advances in Finance, Accounting, and Economics. IGI Global, 2024. http://dx.doi.org/10.4018/979-8-3693-2117-1.ch015.
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This study examines the impact of various environmental taxes on energy intensity using panel data from 20 European countries and 17 Sub-Saharan African countries for the period 2000-2019. The autoregressive distributed lag model (ARDL) was used to analyze both the long-term and short-term effects, employing a Pool Mean Group estimator. Results indicate that the influence of disaggregated environmental taxes, specifically air pollution taxes and climate change taxes, on energy intensity is not always consistent across different regions. The findings highlight that the effects vary based on income groups and time periods. These results suggest that policymakers need to tailor environmental tax policies to the unique economic and temporal contexts of each region, balancing the goals of economic growth and environmental sustainability.
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Mahama, Abdul Jalil, and Mubarik Abdul Mumin. "Renewable Energy Resilience." In Advances in Public Policy and Administration. IGI Global, 2023. http://dx.doi.org/10.4018/978-1-6684-9272-7.ch001.
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This study explores the impact of political stability on the United Arab Emirates' (UAE) sustainable energy transition. It highlights how political stability enables long-term planning, policy continuity, investment attraction, and public acceptance of renewable energy. The study employed quantitative methodology, using the Phillips-Perron (PP) unit root test for stationarity assessment, the Autoregressive Distributed Lag (ARDL) cointegration test to confirm long-term relationships, and the Fully Modified Ordinary Least Square (FMOLS) technique proposed by Phillips and Hansen to investigate the relationships between the variables in the empirical model. The findings emphasize a positive correlation between political stability and the UAE's progress in diversifying its energy mix and embracing renewable sources. The research underscores the significance of political stability as a catalyst for a sustainable energy transition.
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Olushola, Oluwatosin, Pa Lamin Beyai, and Alexander Anagbado. "Taxation and the Challenge of Fiscal Sustainability in a Resource-Rich Developing Country: A Re-evaluation of the Nigerian Perspective." In Business and Management - Annual Volume 2023 [Working Title]. IntechOpen, 2023. http://dx.doi.org/10.5772/intechopen.111406.
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Taxation plays a pivotal role in the fiscal management and financing of the public sector by the government. This study is dedicated to a comprehensive exploration of taxation and its implications for fiscal sustainability, particularly in the context of a resource-rich developing nation, with a specific focus on Nigeria. In our investigation, we harnessed the power of the Autoregressive Distributed Lag (ARDL) model alongside other robust econometric tools such as the Augmented Dickey-Fuller unit root test and the ARDL bounds test of cointegration. The empirical findings of this study underscore the substantial influence of taxation on Nigeria\'s economic growth over the entire period under consideration. While petroleum profit tax exhibited a dampening effect on economic growth, companies\' income tax and value-added tax contributed positively. Significantly, the impact of value-added tax on overall productivity eclipsed that of companies\' income tax. The recommendations emphasize strengthening tax collection institutions for better compliance. The government should also focus on establishing an efficient tax system that widens the tax base, which can be achieved by formalizing informal businesses. This approach is crucial for increasing tax revenues, enhancing fiscal sustainability, and restructuring Nigeria\'s economy.
Conference papers on the topic "Autoregressive Distributed Lagged Model (ARDL)"
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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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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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Đorđević, Bojan, and Sunčica Stanković. "The COVID-19 Pandemic, Government Response, and Serbian Stock Market: Evidence from ARDL Cointegration Model." In 6th International Scientific Conference – EMAN 2022 – Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2022. http://dx.doi.org/10.31410/eman.s.p.2022.59.
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The existence of a real possibility that the current health crisis could lead to an economic crisis has prompted governments worldwide to make great efforts to sustain their markets. This paper explores the impact of COVID-19 and Serbian government anti-Covid activities on the domestic stock market using the Autoregressive Distributed Lag (ARDL) Cointegration model. In its research, the paper considers the impact of the number of newly infected and the number of deaths from coronavirus daily, as well as measures taken by governments to combat viruses on the representative Belgrade stock exchange index BELEX15. The results showed a significant long-term negative impact on the number of deaths per day and international travel control on the BELEX15 index. In terms of reducing the negative consequences of the crisis caused by the global pandemic, these results could be a good guideline for effective management of government measures.
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Szabó, Jakub, and Peter Jančovič. "Inflation Dynamics & Real Economic Activity: Examination of the Cost-Based Hybrid New Keynesian Phillips Curve for the Czech Republic." In EDAMBA 2021 : 24th International Scientific Conference for Doctoral Students and Post-Doctoral Scholars. University of Economics in Bratislava, 2022. http://dx.doi.org/10.53465/edamba.2021.9788022549301.465-475.
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The New Keynesian Phillips Curve (NKPC) became a staple in the New Keynesian economics, assuming an existence of a short-term trade-off between inflation and real economic activity, either in a form of labor unit costs or output gap. Extending the cost-based NKPC with hybrid, backward-looking price setting to the Czech Republic, we aim to examine the impact of unit labor costs, inflation expectations, import prices and real effective exchange rate on the development of inflation between 2000M1 and 2020M12. Dealing with nonstationary and cointegrated time series, we compare results employing an Error Correction Model (ECM) and an Autoregressive Distributed Lag (ARDL) model with the variables integrated in order I(1). Our data result suggest that the labor unit costs, and the inflation expectations might have an impact on the evolution of inflation based on the ECM and ARDL in differences for the Czech Republic between 2000M1 and 2020M12, although the results are too uncertain to be unambiguous.
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Al-Assaf, Dr Ghazi. "Understanding the Nexus Between Oil Price Volatility and Trade Balance in GCC Countries: A Comparative Investigation of Linear and Nonlinear ARDL Models." In 5th World Conference on Business, Management, Finance, Economics, and Marketing. Eurasia Conferences, 2024. http://dx.doi.org/10.62422/978-81-968539-6-9-019.
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The GCC countries, being rich in oil deposits, have always experienced volatility in the price of oil, and the consequences are predominantly in the form of the trade balance proportions. This research work attempts to unravel the complex interplay of oil price volatility and trade balance in GCC countries through the use of comparative analysis of Linear Autoregressive Distributed Lag (ARDL) and Nonlinear ARDL models. This research uses annual time-series data covering the period 1989-2021, which includes the major GCC economies of Saudi Arabia, the United Arab Emirates, Qatar, Kuwait, Bahrain and Oman. First the research investigates the linear relationship between the volatility of oil price and trade balance that captures the traditional view of fluctuations in oil prices as a factor affecting trade balances in these countries. Then it presents an innovative method extending linear dynamics of ARDL model to complex, non-monotonic, interdependent relationships between oil price volatility and trade balance. The main results derived from both linear and non-linear ARDL estimations are presented side by side to pinpoint the underlying different mechanisms by which oil price volatility affects trade balances in GCC countries. The implementation of nonlinear dynamics will help realize the existence of components and consequences which might not be shown in the standard linear models. This comparative study not only brings the issue of the interrelatedness of oil prices and trade balances deeper into light, but also sets the tone for the application of advanced econometric techniques to account for nonlinearity and asymmetry in such relationships.
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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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Atsi, Eugene Ray. "OIL PRICES, EXCHANGE RATE VOLATILITY AND FDI INFLOWS ON THE ECONOMIC GROWTH OF GHANA: WAVELET TECHNIQUE AND ARDL APPROACH." In MBP 2025 Tokyo International Conference on Management & Business Practices, 21-22 January. Global Research & Development Services, 2025. https://doi.org/10.20319/icssh.2025.1338.
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Ghana, like many other developing economies, is intricately connected to global economic trends and fluctuations. This paper investigates the influence of oil prices, exchange rate volatility and FDI inflows on Ghana’s economic growth. Moreover, it determines the level of interdependencies and the lead/lag connectedness among the variables. The study utilizes time series data from 1995 to 2022 and applies the Autoregressive Distributed Lag (ARDL) model as well as Wavelet Multiple techniques (Wavelet Multiple Correlation (WMC) and Wavelet Multiple Cross-Correlation (WMCC)). Based on the ARDL model, oil prices and exchange rate volatility adversely impact Ghana’s GDP. However, FDI inflows reveal a positive and significant relationship to GDP. Using the Wavelet model, the WMC result demonstrates stronger interdependence among the variables. Finally, the outcome from WMCC indicates that the exchange rate is the dominant variable without any lag that plays a pivotal role in determining the coherence among the economic indicators. Therefore, the study suggests that investment in renewable energy, diversification of export products and markets, enhancement of exchange rate framework, promotion of local content and linkages, and monitoring and evaluation of anti-corruption measures should be encouraged to boost the economy of Ghana.
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Çağlayan Akay, Ebru, and Zamira Oskonbaeva. "Environmental Kuznets Curve Hypothesis: The Case of Central Asian Countries." In International Conference on Eurasian Economies. Eurasian Economists Association, 2022. http://dx.doi.org/10.36880/c14.02617.
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This study aims to explore the validity of environmental Kuznets curve hypothesis in case of Central Asian countries. For this purpose, annual data of selected countries for the period 1993-2018 was utilized. Environmental Kuznets curve (EKC) hypothesis implies that the environmental quality deteriorates at the beginning of economic growth and improves over time. The existence of this hypothesis has been evaluated by employing panel ARDL (autoregressive distributed lags) model. The findings indicate the validity of the N-shaped EKC hypothesis in the case of the Central Asian countries. Moreover, renewable energy consumption improves the environmental quality by reducing CO2 emissions. These outcomes have practical policy implications for the government and policymakers of the studied countries. The appropriate recommendations for designing a regional energy policy that is both inclusive and environmentally friendly were suggested.
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USMAN, Muhammad, Lal Khan ALMAS, and Shoaib HASSAN. "Innovation Spillovers, Economic Growth, and the Role of Absorptive Ability." In The International Conference on Economics and Social Sciences. Editura ASE, 2024. http://dx.doi.org/10.24818/icess/2024/081.
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Research and Development (R&D) based economic sustainability is the current debate in endogenous growth framework to solve the problem of production inefficiency to achieve economic stability. The high Total Factor Productivity (TFP) growth can be attained through technological innovation, reverse engineering, ‘learning by doing’, artificial intelligence, and interaction of the researchers around the world. The adoption of foreign and domestic R&D innovation and its spillovers are relying on the willingness to opt, financial capital, and knowledge capital. The rationale of this study is to examine the importance of R&D spillovers for stable economic growth (EG) through the channel of knowledge diffusion in Pakistan. This research theme has been designed to investigate the proficiency of R&D diffusions in the absorptive capacity of the Pakistani labour force and the efficiency to progenitive utilization of R&D innovation. Quantitative analysis is carried out through the yearly time series data covering the period of 1972 to 2022. The Translog and Cobb Douglas production functions were employed to measure the TFP growth and Autoregressive Distributive Lagged (ARDL) Model was applied for empirical analysis. The quantitative analysis provided evidence of the presence of foreign and domestic R&D innovation spillovers and adoption in Pakistan with poor absorptive capacity. The study has indicated that foreign R&D spillovers have an affirmative role in TFP growth compared to domestic R&D. A great deal of policy wisdom has been generated, which directs that government should focus on sustainable policies related to local R&D, R&D spillovers with sufficient and sustainable R&D expenditures, their availability, and accessibility of innovation to boost the resource efficacy for higher TFP growth. The government should emphasise the implementation of extension services to educate workers by demonstrating the effectiveness of early adoption of innovation, innovative technology, and artificial intelligence (AI) to achieve sustainable productivity.
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Udoudo, Kufre Jerome. "From Reserves to Revenue: The Economic Dynamics of Nigeria's Natural Gas Export from 1999 - 2022." In SPE Nigeria Annual International Conference and Exhibition. SPE, 2024. http://dx.doi.org/10.2118/221649-ms.
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Abstract Nigeria's position as a major participant in the global energy market, especially via its natural gas exports, is crucial in this age of energy transition. Nigeria's enormous natural gas reserves have become an important part of the global gradual shift from conventional fossil fuels towards greener energy sources, providing a cleaner substitute for coal and oil. This study examined the economic impact of Nigeria's natural gas exports from 1999 to 2022, utilizing an Autoregressive Distributed Lag (ARDL) model to provide a detailed analysis. The methodology includes descriptive statistics, the Augmented Dickey-Fuller unit root test, the ARDL bounds test for co-integration, the Granger causality test, and diagnostic tests. The results suggested that natural gas exports have a significant and positive effect on Nigeria's economic growth at a 1% level of significance. However, the impact of crude oil exports is positive but not statistically significant. The analysis revealed that foreign direct investment exerts a noteworthy and favourable impact, with a significance level of 10%. Conversely, there exists an inverse correlation between natural gas prices and economic growth in Nigeria in the long term. The model's robustness and fitness are verified by diagnostic tests. In light of the substantial and positive long-term effects of natural gas exports on Nigeria's gross domestic product, it is recommended that natural gas exports be stimulated through increased infrastructure investment, enhanced export facilities, and the formation of favourable trade agreements. Moreover, the substantial positive impact of foreign direct investment on economic growth underscores the imperative for the Nigerian government to establish a more attractive investment climate through the provision of incentives to foreign investors, political stability, and enhanced legal frameworks.
Reports on the topic "Autoregressive Distributed Lagged Model (ARDL)"
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Kraujalienė, Lidija, Atif Yaseen, and Inga Bilinskienė. Effects of Natural Resources and Renewable Energy Consumption on Carbon Dioxide Emmisions in the Country Economics. Vilnius Business College, 2024. https://doi.org/10.57005/ab.2024.3.5.
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Climate change is a highly debated issue among policymakers and stakeholders because it catalyzes numerous other problems. Similarly, natural resources are a blessing for any country’s economic development, but sometimes, this blessing can become a source of many problems. The research rigorously employs the Autoregressive Distributed Lag (ARDL) model, a widely accepted econometric tool for analyzing long-run relationships, and aims to investigate the impact of natural resources, renewable energy consumption, and agricultural activities on carbon emissions, considering economic growth in Russia for 30 years period. The ARDL model has evaluated that natural resources and agrarian activities significantly positively affect carbon emissions due to economic growth, while renewable energy hurts carbon emissions in Russia. This research uses a quantitative approach and relies on secondary data. Furthermore, robustness checks using Fully Modified Ordinary Least Squares (FMOLS), Dynamic Ordinary Least Squares (DOLS), and Canonical Cointegration Regression (CCR) confirmed the primary outcomes of the ARDL model. Diagnostic tests (CUSUM and CUSUMSQ) have shown the model's stability, while the multicollinearity test (VIF) has highlighted the absence of multicollinearity. The research findings have confirmed that Russia’s resources and agriculture harm the environment, while renewable energy offers a beacon of hope, promoting sustainability and economic growth. This research, with its recommendations for reducing carbon emissions in developed countries, offers a path towards a more sustainable future, inspiring optimism and hope.
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Mehbub Anwar, Ahm, Nourah Al-Hosain, and Yagyavalk Bhatt. Analyzing the Interplay of Urbanization, Economic Development, and Seaborne Trade A Case of Saudi Arabia. King Abdullah Petroleum Studies and Research Center, 2024. https://doi.org/10.30573/ks--2024-dp62.
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Urbanization is widely recognized as a critical factor influencing economic growth and global trade, yet there is ongoing debate about whether it drives these outcomes or is a consequence of them. To address this, it is essential to determine whether urbanization spurs economic development and trade, or if these processes influence urbanization, or if the relationship is one of mutual causality. This study investigates the interplay between urbanization, economic development, and trade in both the short and the long term. Using data from Saudi Arabia spanning from 1991 to 2022, the research employs cointegration and Granger causality tests to first determine the order of integration of the variables, and it then applies the Autoregressive Distributed Lag (ARDL) model and the Error Correction Model (ECM) to examine causal relationships over different time horizons. The results reveal a bidirectional causality between urbanization and economic development in both the short and the long terms. In contrast, while there is bidirectional causality between trade and economic development in the short term, the long-term analysis indicates a unidirectional causality from trade to economic development. This suggests that trade influences economic development, which in turn affects urbanization, with no direct causality found between trade and urbanization.