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Journal articles on the topic 'Nonlinear ARDL model'

Author: Grafiati

Published: 4 June 2025

Last updated: 15 July 2025

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1

Chang, Bisharat Hussain, Suresh Kumar Oad Rajput, and Niaz Ahmed Bhutto. "Impact of Exchange Rate Volatility on the US Exports: A New Evidence From Multiple Threshold Nonlinear ARDL Model." Journal of International Commerce, Economics and Policy 10, no. 02 (2019): 1950009. http://dx.doi.org/10.1142/s1793993319500091.

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This study extends previous literature by examining the effect of extremely large to extremely small changes in the exchange rate volatility on the US exports to developing countries such as Brazil, India, Mexico, and South Africa. We use novel approach called multiple threshold nonlinear ARDL (MTNARDL) and compare its results with ARDL and nonlinear ARDL models. The ARDL model supports insignificant results, whereas standard nonlinear ARDL model indicates asymmetric effect of exchange rate volatility on the US exports to Mexico only. Finally, the MTNARLD model indicates that in the short run,

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Farooq, Fatima, Muhammad Faheem, and Muhammad Zahid Usman. "Does Globalization Asymmetrically Affect CO2 Emissions in Pakistan? A New Evidence through NARDL Approach." Review of Education, Administration & LAW 3, no. 3 (2020): 511–22. http://dx.doi.org/10.47067/real.v3i3.96.

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The study examines the impact of globalization and institutional quality on environmental degradation in Pakistan. The study employs symmetric and asymmetric Autoregressive Distributed Lag Model (ARDL) at a time to check the linear and nonlinear effect of globalization on the environment over 1985 to 2017. The long-run findings of linear ARDL shows globalization affect positively to the environment and all other control variables FDI, GDP are significant with a positive sign while institutional quality and the interaction term of globalization and institutional quality is significant with a ne

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Yahya Abd, Tabarak, and Firas A. Mohammed Almohana. "Building A hybrid Time Series Model Using ARDL With LSTM and GRU Models." Journal of Economics and Administrative Sciences 30, no. 144 (2024): 501–16. https://doi.org/10.33095/wh488343.

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Purpose: The aim of the research is to utilize a hybrid model that combines the linear model represented by Autoregressive Distributed Lag (ARDL) and the nonlinear model represented by deep learning models, such as Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU). Theoretical Framework: The theoretical framework integrates the linear component represented by the Autoregressive Distributed Lag (ARDL) model and the nonlinear component represented by deep learning models, namely Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU) To create hybrid models. Design/Methodology/Ap

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Koyuncu, Cuneyt, Mustafa Unver, and Muhammed Veysel Kaya. "Asymmetric Short-Run and Long-Run Impact of Economic Globalization on Crop Production in Turkiye." Romanian Agricultural Research 40 (2023): 687–700. http://dx.doi.org/10.59665/rar4064.

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This study explores short-run and long-run relationship between economic globalization and crop production in Turkiye by utilizing linear and nonlinear ARDL models for two distinct indicators of crop production. Based on linear and nonlinear ARDL bound tests, the relevant variables are co-integrated and hence they move together in the long run. Economic globalization and crop production possess statistically significant positive association in the long run in linear ARDL models. On the other hand, short-run and longrun symmetry test results disclose that the relationship of economic globalizat

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LUCKSTEAD, JEFF. "ASYMMETRIC EXCHANGE RATE PASS-THROUGH IN U.S. IMPORTS OF COCOA." Journal of Agricultural and Applied Economics 50, no. 3 (2018): 369–86. http://dx.doi.org/10.1017/aae.2018.1.

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AbstractBoth the autoregressive distributed lag (ARDL) and the nonlinear ARDL frameworks are applied to model U.S. imports of cocoa beans from Côte d'Ivoire, Ghana, and the Dominican Republic (more than 90% of U.S. cocoa imports originate from these three countries). The results provide evidence of nonlinear and asymmetric pass-through of exchange rates, regional quality difference, and imperfect competition in U.S. cocoa imports. Furthermore, a rise or fall in U.S. income leads to an increase or decrease in U.S. cocoa imports.

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Usman, Ojonugwa, and Osama Elsalih. "Testing the Effects of Real Exchange Rate Pass-Through to Unemployment in Brazil." Economies 6, no. 3 (2018): 49. http://dx.doi.org/10.3390/economies6030049.

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This paper attempts to test the pass-through of the real exchange rate (RERT) to unemployment in Brazil over the period 1981M1–2015M11 using linear and nonlinear Autoregressive Distributed Lag (ARDL) models. The result of the linearity test suggests that the relationship between RERT and unemployment is linear in the short-run and nonlinear in the long-run. Therefore, using the symmetric ARDL model for the short-run analysis, we find that an increase in the RERT decreases the unemployment rate. The result of the nonlinear ARDL for the long-run analysis shows that the unemployment rate reacts t

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Song, Jiecheng, and Merry Ma. "Climate Change: Linear and Nonlinear Causality Analysis." Stats 6, no. 2 (2023): 626–42. http://dx.doi.org/10.3390/stats6020040.

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The goal of this study is to detect linear and nonlinear causal pathways toward climate change as measured by changes in global mean surface temperature and global mean sea level over time using a data-based approach in contrast to the traditional physics-based models. Monthly data on potential climate change causal factors, including greenhouse gas concentrations, sunspot numbers, humidity, ice sheets mass, and sea ice coverage, from January 2003 to December 2021, have been utilized in the analysis. We first applied the vector autoregressive model (VAR) and Granger causality test to gauge the

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Lee, Geul, and Doojin Ryu. "ASYMMETRY IN THE STOCK PRICE RESPONSE TO MACROECONOMIC SHOCKS: EVIDENCE FROM THE KOREAN MARKET." Journal of Business Economics and Management 19, no. 2 (2018): 343–59. http://dx.doi.org/10.3846/jbem.2018.5563.

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This study investigates stock price movements in response to macroeconomic shocks, allowing for asymmetry in this relationship. Given Ferson’s (1989) finding that large and small stocks can exhibit different risk behaviors, we examine the behaviors of the KOSPI and KOSDAQ stock markets in response to changes in the price level, real interest rate, and real USD/KRW exchange rate using simple and nonlinear autoregressive-distributed lag (ARDL) models. We find that the long-run effects of macroeconomic shocks are relatively insignificant under the simple ARDL model, whereas a significant and nega

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Said, Imane, and Abderrahim Chibi. "Fiscal Reaction Function in Algeria: Nonlinear ARDL Approach." HOLISTICA – Journal of Business and Public Administration 15, no. 2 (2024): 81–106. https://doi.org/10.2478/hjbpa-2024-0016.

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Abstract This study estimated the fiscal reaction function to evaluate the sustainability of fiscal policy in Algeria from 1990 Q1 to 2022 using a nonlinear ARDL model. The results indicate that high debt levels adversely affect the budget balance during positive shocks, highlighting the need for effective debt management. The negative impact of the spending gap during downturns reflects Algeria’s reliance on government spending and the drawbacks of pro-cyclical fiscal policies. The output gap’s consistent positive effect on the budget balance suggests effective fiscal management. Additionally

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Deluna, Roperto S., Jeanette Isabelle V. Loanzon, and Virgilio M. Tatlonghari. "A nonlinear ARDL model of inflation dynamics in the Philippine economy." Journal of Asian Economics 76 (October 2021): 101372. http://dx.doi.org/10.1016/j.asieco.2021.101372.

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11

Ongan, Serdar, and Ismet Gocer. "Testing fisher effect for the USA: application of nonlinear ARDL model." Journal of Financial Economic Policy 12, no. 2 (2019): 293–304. http://dx.doi.org/10.1108/jfep-09-2018-0127.

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Purpose This paper aims to investigate the presence of the Fisher effect for the USA from a new methodological perspective differing it from all previous studies using the common linear representation of the Fisher equation. Design/methodology/approach The nonlinear ARDL model, recently developed by Shin et al. (2014), is applied for the 10-year US Government bond rates over the period of 1985M1-2017M10. Findings The empirical findings indicate that the US Federal Reserve (FED) is a more predominant arbiter in the determination of interest rates during periods of declining inflation rates than

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GHADI, Maen. "Investigating the Asymmetric Effects of Economic and Demographic Factors on Traffic Accident Severity – Evidence from a Nonlinear ARDL Approach." Promet - Traffic&Transportation 37, no. 3 (2025): 648–64. https://doi.org/10.7307/ptt.v37i3.814.

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This study adopts an innovative nonlinear autoregressive distributed lag (N-ARDL) approach and compares it with the standard ARDL and the traditional ordinary least-squared (OLS) regressions. These approaches are used to examine the long-run and dynamic relationships between the accident severity in urban Jordan cities and the following explanatory variables: proportion of population living in urban areas, GDP growth rate, total length of road networks, vehicle ownership growth rate and spaces of newly added buildings. The case study covers the period from 2004 to 2022. The standard and nonlin

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Bahmani-Oskooee, Mohsen, and Hadise Fariditavana. "Nonlinear ARDL approach, asymmetric effects and the J-curve." Journal of Economic Studies 42, no. 3 (2015): 519–30. http://dx.doi.org/10.1108/jes-03-2015-0042.

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Purpose – Previous research that investigated the effects of currency depreciation on the trade balance assumed that the adjustment of all variables in a given model is in linear fashion. The authors wonder if introduction of nonlinearity in the adjustment of some variables such as the exchange rate can shed additional light on evidence of the J-curve. The new approach also allows to test whether exchange rate changes have symmetric or asymmetric effects on the trade balance. Estimates of a trade balance model for Canada, China, Japan, and the USA reveal that the effects are indeed asymmetric.

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Abu Asab, Noura. "Investment Amid Uncertainty: Exchange Rates and Oil Price Dynamics in Saudi Arabia." International Journal of Energy Economics and Policy 14, no. 6 (2024): 641–50. http://dx.doi.org/10.32479/ijeep.17315.

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This study examines the impact of real effective exchange rates and oil price on private investment in Saudi Arabia, focusing on the role of economic uncertainty in this dynamic relationship. Using quarterly data from 2007 to 2022, this research applies the ARDL, error correction model, and nonlinear ARDL, to capture both short- and long-term effects. GARCH and EGARCH models assess the conditional variance, serving as indicators of economic uncertainty. The analysis reveals that oil prices and real effective exchange rates significantly enhance private investment in the long run, whereas excha

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15

Ben Abdallah, Marwa, Maria Fekete Farkas, and Zoltan Lakner. "Analysis of Dairy Product Price Transmission in Hungary: A Nonlinear ARDL Model." Agriculture 10, no. 6 (2020): 217. http://dx.doi.org/10.3390/agriculture10060217.

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This paper addresses the assessment of the price transmission of dairy products in Hungary. Monthly prices are used in testing the hypothesis of asymmetric price transmission between farmers and retailers. The magnitude of short- and long-run asymmetric transmission between price levels is measured through a nonlinear autoregressive distributed model (NARDL). The cointegration of variables is validated through bounds test of the NARDL model. The estimated NARDL model proves the existence of long- and short-run asymmetric relationships between producer milk price and most retailer dairy product

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Ongan, Serdar, and Ismet Gocer. "The US-China trade war with increasing trade policy uncertainty." Journal of Chinese Economic and Foreign Trade Studies 13, no. 2 (2020): 87–94. http://dx.doi.org/10.1108/jcefts-01-2020-0002.

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Purpose This study aims to examine the impacts of changing US trade policy uncertainty (henceforth, TPU Index) on US bilateral trade balance with China from a nonlinear methodology perspective. Design/methodology/approach The nonlinear auto regressive distributed lag (ARDL) model, recently developed by Shin et al. (2014), is applied. This model decomposes the TPU Index series into its increases (TPU+) and decreases (TPU−) and creates two new TPU Index series. Findings Empirical findings indicate that increases in the TPU Index improve the US bilateral trade balance only in the short-run (no lo

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Saâdaoui, Foued, and Othman Ben Messaoud. "Multiscaled Neural Autoregressive Distributed Lag: A New Empirical Mode Decomposition Model for Nonlinear Time Series Forecasting." International Journal of Neural Systems 30, no. 08 (2020): 2050039. http://dx.doi.org/10.1142/s0129065720500392.

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Forecasting has always been the cornerstone of machine learning and statistics. Despite the great evolution of the time series theory, forecasters are still in the hunt for better models to make more accurate decisions. The huge advances in neural networks over the last years has led to the emergence of a new generation of effective models replacing classic econometric models. It is in this direction that we propose, in this paper, a new multiscaled Feedforward Neural Network (FNN), with the aim of forecasting multivariate time series. This new model, called Empirical Mode Decomposition (EMD)-

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Hajilee, Massomeh, Mahsa Oroojeni Mohammad Javad, and Linda A. Hayes. "On the link between HIV prevalence and health expenditure: an asymmetric analysis." Journal of Economic Studies 47, no. 3 (2020): 509–26. http://dx.doi.org/10.1108/jes-12-2018-0420.

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PurposeIndividuals' health is considered one of the major determinants of higher levels of productivity and economic development. Over the past century, the widespread occurrence of human immunodeficiency virus/acquired immunodeficiency syndrome (HIV/AIDS) has been a serious threat to economic development around the globe and has caused a dramatic fall in the life expectancy rate in many nations. This is the first study that examines the impact of HIV prevalence on health expenditure at the national level employing two linear and nonlinear autoregressive distributed lag (ARDL) models and simul

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Elroukh, Ahmed W. "The Asymmetric Impact of Economic Policy Uncertainty on the Demand for Money in the GCC Countries." International Journal of Economics and Financial Issues 15, no. 1 (2024): 93–100. https://doi.org/10.32479/ijefi.17551.

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Heightened uncertainty in global economic policy has sparked a renewed interest in studying people’s demand for money, particularly to explore whether this demand exhibits asymmetry. In this study, we utilize a nonlinear ARDL approach to investigate the asymmetric effects of global economic policy uncertainty on money demand in each GCC country. Understanding the impact of global economic policy uncertainty on money demand in GCC countries is essential for crafting effective monetary policies, especially given that these countries maintain a pegged exchange rate to the US dollar, leaving them

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20

Amin, Md Mushaddiqul Islam, and Md Mahafuzur Rahman. "Assessing effects of agriculture and industry on CO2 emissions in Bangladesh." PLOS Climate 3, no. 9 (2024): e0000408. http://dx.doi.org/10.1371/journal.pclm.0000408.

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Climate change is a critical global issue, driven primarily by the continuous rise in carbon dioxide (CO2) levels. Addressing this challenge requires innovative solutions and proactive measures to mitigate its impact. This study investigates the impact of Bangladesh’s industrialization, agriculture, and imports on CO2 emissions, exploring both linear and asymmetric relationships to inform sustainable development strategies. Advanced modeling techniques, namely autoregressive distributed lag (ARDL) and nonlinear autoregressive distributed lag (NARDL) models are used to evaluate the impact of Ba

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Kriskkumar, Karunanithi, Niaz Ahmad Mohd Naseem, and Wan Ngah Wan Azman-Saini. "Investigating the Asymmetric Effect of Oil Price on the Economic Growth in Malaysia: Applying Augmented ARDL and Nonlinear ARDL Techniques." SAGE Open 12, no. 1 (2022): 215824402210799. http://dx.doi.org/10.1177/21582440221079936.

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This paper attempts to investigate if the effect of oil price on growth is asymmetrical for Malaysia, a small-open-dynamic oil-exporting country, over a period from 1981 to 2017. The empirical method employed in this study is the augmented autoregressive distributed lag model (ARDL) bound test approach and the recent innovative nonlinear autoregressive distributed lag (NARDL) model. Results suggest that neglecting nonlinearities can lead to misleading results. More precisely, the result reveals that adjustments in the price of oil influence Malaysia’s economic growth asymmetrically. An increas

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Enisan Akinlo, Anthony. "Asymmetric Effects of Expected Oil Wealth on the Demand for Money in Nigeria." Review of Finance and Banking 16, no. 1 (2024): 105–19. http://dx.doi.org/10.24818/rfb.23.16.01.08.

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The paper investigates the asymmetric effects of expected oil wealth on the demand for money in Nigeria over the period 1986:Q1–2020:Q4, by using linear autoregressive distributed lag (ARDL) and nonlinear ARDL (NARDL) approaches. The linear (ARDL) bounds testing approach shows that expected oil wealth has no significant effect both in the short and long run. However, when a NARDL model is applied, the effect of negative and positive expected oil wealth shocks on the demand for money is significant and unequal in the long run, with a higher long-term impact of negative shocks compared to positi

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Sharma, Vishal, and Ashok Mittal. "Fiscal deficit, capital formation, and economic growth in India: a nonlinear ARDL model." DECISION 46, no. 4 (2019): 353–63. http://dx.doi.org/10.1007/s40622-019-00223-8.

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Belloumi, Mounir, and Ahmed Aljazea. "Relationship between Energy and Economic Growth: Evidence from a Panel Nonlinear ARDL Model." International Journal of Energy Economics and Policy 14, no. 2 (2024): 468–76. http://dx.doi.org/10.32479/ijeep.15513.

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In this article, we study the heterogeneous relationship among energy consumption and economic growth by incorporation gross fixed capital formation, foreign direct investment, international trade and finance development as control variables in a selected sample of 11 countries of the Middle East and North Africa over the period 1980-2020 using a panel nonlinear autoregressive distributed lag model. Empirical results show the presence of an asymmetric long run relationship between energy consumption and economic growth in the group of countries. The Pooled Mean Group estimates indicate that po

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Mohamad, Abdul Hayy Haziq, Muhamad Rias K. V. Zainuddin, and Rossazana Ab-Rahim. "Does Renewable Energy Transition in the USA and China Overcome Environmental Degradation?" International Journal of Energy Economics and Policy 13, no. 6 (2023): 234–43. http://dx.doi.org/10.32479/ijeep.14840.

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The use of fossil energy highly contributes to the CO2 emissions. Compared to other countries, China and the USA were responsible for approximately half of the global CO2 emissions in 2022. The SDG7 agenda, which aims to preserve the use of renewable energy, has made people aware of the need to switch from fossil-based to renewable energy sources by 2030. Thus, this paper aims to analyze the implications of fossil and renewable energy consumption on environmental degradation in the USA and China. This study uses the linear and nonlinear autoregressive distributed lag (ARDL) model to examine th

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Ongan, Serdar, and Ismet Gocer. "Money Supply Determination Process for Japan." Journal of Central Banking Theory and Practice 12, no. 1 (2023): 249–61. http://dx.doi.org/10.2478/jcbtp-2023-0011.

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Abstract This study re-investigates the money supply determination process for Japan. The methodology of this study, which differs from previous studies, is constructed on the assumption of potential nonlinear (asymmetric) relations between money supply and monetary base via money multiplier. To this aim, the nonlinear autoregressive distributed lag (ARDL) model by Shin, Yu and Greenwood-Nimmo, (2014) is applied. This model allows us to examine the endogeneity and exogeneity of the money supply determination process via the linkage of the money multiplier under expansionary and contractionary

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Kavase, Kambale, and Andrew Phiri. "Are fiscal budgets sustainable in South Africa? Evidence from provincial level data." Business and Economic Horizons 14, no. 2 (2018): 415–23. https://doi.org/10.15208/beh.2018.30.

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This study uses the nonlinear autoregressive distributive lag (N-ARDL) model to investigate the expenditure-revenue relationship for all nine South African provinces using annual data spanning from 2000 to 2016. Whereas other cointegration models can only depict whether budgets are sustainable or not, the N-ARDL model presents features which further enable us to  predict a course of action which individual provincial governments can take towards attaining higher levels of budgetary sustainability in both the short and the long-run. Ultimately, our empirical study demonstrates that the &ls

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Slimane, Sarra Ben. "The Impact of Resource Revenue on Non-Resource Tax Revenue in Oil-Exporting Countries: Evidence from Nonlinear Analysis." International Journal of Energy Economics and Policy 14, no. 1 (2024): 272–80. http://dx.doi.org/10.32479/ijeep.15002.

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The main objective of this study was to examine the asymmetric effect of resource tax revenues on non-resource ones in oil-rich countries, as most previous research on the subject has assumed a symmetric resource-non-resource tax revenue nexus. We employed linear ARDL model to analyze the short- and long-term effects and found a negative relationship between resource and non-resource tax revenues. Based on nonlinear ARDL model estimates, empirical results provide strong evidence for the asymmetric effect of resource tax revenues. In the long-run, positive shocks have negative impacts on non-re

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Bahmani-Oskooee, Mohsen, Ferda Halicioglu, and Scott W. Hegerty. "Mexican bilateral trade and the J-curve: An application of the nonlinear ARDL model." Economic Analysis and Policy 50 (June 2016): 23–40. http://dx.doi.org/10.1016/j.eap.2016.02.003.

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Fousekis, Panos, Constantinos Katrakilidis, and Emmanouil Trachanas. "Vertical price transmission in the US beef sector: Evidence from the nonlinear ARDL model." Economic Modelling 52 (January 2016): 499–506. http://dx.doi.org/10.1016/j.econmod.2015.09.030.

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Pal, Debdatta, and Subrata K. Mitra. "Asymmetric oil product pricing in India: Evidence from a multiple threshold nonlinear ARDL model." Economic Modelling 59 (December 2016): 314–28. http://dx.doi.org/10.1016/j.econmod.2016.08.003.

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Bahmani-Oskooee, Mohsen, and Majid Maki Nayeri. "Policy Uncertainty and the Demand for Money in Canada: A Nonlinear Approach." Applied Economics Quarterly: Volume 64, Issue 4 64, no. 4 (2018): 279–95. http://dx.doi.org/10.3790/aeq.64.4.279.

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Abstract Economic uncertainty is said to affect the demand for money in either direction. We use the new comprehensive measure of policy uncertainty and assess its impact on the demand for money in Canada. When a linear model was used, we found only short-run effects of uncertainty on Canadian cash holdings. However, when a nonlinear model was used, the results revealed that increased policy uncertainty has negative effect on the demand for money in the long run but decreased uncertainty has no effect, a clear sign of an asymmetric response by the public. JEL classifications: E41 Keywords: Can

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Tang, Chung-Siong, and Mori Kogid. "Asymmetric Responses of Energy Consumption in Malaysia: Evidence from Nonlinear ARDL." International Journal of Energy Economics and Policy 12, no. 4 (2022): 160–65. http://dx.doi.org/10.32479/ijeep.12977.

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Many studies have modelled the prices, growth, technology and financial effects on energy consumption in a linear fashion. However, structural changes may trigger asymmetric or nonlinear behaviour in time series analysis. In this paper, we examine the asymmetric influence of economic growth, energy prices, technological innovations and financial development on energy consumption in Malaysia over the period between 1970 and 2018 using a nonlinear ARDL (NARDL) model. The empirical results uncover the existence of asymmetric cointegration relationship between variables. A positive shock in income

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Abid Hussein*, Mayson, and Munaf Yousif Hmood. "Nonstationary Time Series Models Using ARDL and NARDL Estimation." Journal of Economics and Administrative Sciences 30, no. 141 (2024): 439–56. http://dx.doi.org/10.33095/afbrge60.

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The paper features an examination of the link between the behavior of the Money supply and Bank deposit in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The regression relationship between any two nonstationary time series suffer from the problem of superior regression and the results may be incorrect and unreliable, and to overcome this problem the aim of this paper was find a balanced relationship in the long - run between the variables of Money supply and Bank deposits using the method of cointegration by focusing on the behavi

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Naeem, Nasir, Suleiman Sa’ad, Aliyu Rafindadi Sanusi, and Ali Baba Usman. "Accounting for the Effects of Oil Prices on Exchange Rate in Nigeria: Empirical Evidence from Linear and Non-Linear ARDL Models." European Scientific Journal, ESJ 19, no. 16 (2023): 284. http://dx.doi.org/10.19044/esj.2023.v19n16p284.

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This study empirically examines the impact oil prices on the exchange rate in Nigeria. Time series annual dataset spanning 1980 to 2018 was estimated using the linear and nonlinear ARDL model developed by Pesaran and Shin, (1998) & Pesaran, et al. (2001) and Shin, et al. (2014); where oil prices, nominal exchange rate, interest rate, and oil revenue serves as the variables for analysis. From the result of the linear-ARDL models both the long run and short-run revealed that oil price has positive and significant impact on exchange rate. Similarly, the nonlinear model also revealed that, bot

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Kriskkumar and Naseem. "Analysis of Oil Price Effect on Economic Growth of ASEAN Net Oil Exporters." Energies 12, no. 17 (2019): 3343. http://dx.doi.org/10.3390/en12173343.

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In this paper, the linear and nonlinear effects of oil price on growth for Association of Southeast Asian Nations (ASEAN)—3 net oil-exporting countries, namely Brunei, Malaysia and Vietnam, are investigated. The empirical analysis applies the augmented autoregressive distributed lag model (ARDL) bound test approach and the nonlinear autoregressive distributed lag model (NARDL) methodology over the period of 1979 to 2017. Evidence suggests that ignoring nonlinearities may lead to misleading results. Specifically, results reveal that the effect of oil price is asymmetric for the case of Brunei,

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Wang, Yongbin, Chenlu Xue, Bingjie Zhang, Yuchun Li, and Chunjie Xu. "Asymmetric Effects of Weather-Integrated Human Brucellosis Forecasting System Using a New Nonlinear Autoregressive Distributed Lag Model." Transboundary and Emerging Diseases 2024 (March 5, 2024): 1–12. http://dx.doi.org/10.1155/2024/8381548.

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Human brucellosis (HB) remains a significant public health concern in China. This study aimed to investigate the long- and short-term asymmetric impacts of meteorological variables on HB and develop an early prediction system. Monthly data on HB incidence and meteorological variables were collected from 2005 to 2020. The study employed the autoregressive distributed lag (ARDL) and nonlinear ARDL (NARDL) to analyze the long- and short-term effects of climate variables on HB. Subsequently, the data were split into training (from January 2005 to December 2019) and testing parts (from January to D

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Kavese, Kambale, and Andrew Phiri. "A Provincial Perspective of Nonlinear Okun’s Law for Emerging Markets: The Case of South Africa." Studia Universitatis „Vasile Goldis” Arad – Economics Series 30, no. 3 (2020): 59–76. http://dx.doi.org/10.2478/sues-2020-0017.

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AbstractA provincial analysis of Okun’s law in South Africa is provided in this article from 1996 to 2016. Empirically, we rely on the nonlinear autoregressive distributive lag (N-ARDL) model whilst the Corbae-Ouliaris filter is used to extract the ‘gap’ variables required for our regression estimates. Okun’s law is found to be significant hold in the long-run exclusively for the Western Cape and Kwa-Zulu Natal provinces whereas the remaining provinces partially display significant short-run effects. Our sensitivity analysis in which panel N-ARDL estimations for all provinces finds insignifica

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Orumwense, Evelyn Olubanke, Benedict Akanegbu, and Nnanna P. Azu. "Impact of foreign direct investment and remittances on Nigeria’s economic performance: An empirical investigation." Edelweiss Applied Science and Technology 9, no. 4 (2025): 692–704. https://doi.org/10.55214/25768484.v9i4.6041.

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This study investigates the impact of foreign direct investment (FDI) and remittance inflows on Nigeria's economic performance, measured by GDP per capita, from 1985 to 2023. The research uses both Autoregressive Distributed Lag (ARDL) and Nonlinear ARDL (NARDL) models to capture both symmetric and asymmetric effects in the long and short run. The ARDL model reveals that remittances have a statistically significant long-run positive effect on GDP per capita, with a 1% increase in remittances leading to approximately 0.087% growth. FDI, however, is not significant in the linear long-run model.

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Bahmani-Oskooee, Mohsen, Parveen Akhtar, Sana Ullah, and Muhammad Tariq Majeed. "Exchange Rate Risk and Uncertainty and Trade Flows: Asymmetric Evidence from Asia." Journal of Risk and Financial Management 13, no. 6 (2020): 128. http://dx.doi.org/10.3390/jrfm13060128.

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Very recently, the link between exchange rate volatility and trade flows has entered into a new direction in which researchers assess the possibility of asymmetric response of trade flows to a measure of exchange rate uncertainty. We add to this literature by estimating a linear and a nonlinear ARDL model to learn about the experiences of Asian countries, i.e., Pakistan, Japan, China, Korea, Singapore, Malaysia, the Philippines, and India. Like other studies in the literature, nonlinear models yielded relatively more significant results. In some cases, while the linear models showed no signifi

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Faryna, Oleksandr. "Nonlinear Exchange Rate Pass-Through to Domestic Prices in Ukraine." Visnyk of the National Bank of Ukraine, no. 236 (June 29, 2016): 30–42. http://dx.doi.org/10.26531/vnbu2016.236.030.

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This paper aims to estimate the degree of exchange rate pass-through (ERPT) to domestic prices in Ukraine considering nonlinearities with respect to the size and direction of exchange rate movements. We use disaggregated consumer price data and employ a panel autoregressive distributed lag model (ARDL) including threshold parameters to account for nonlinearities in the ERPT mechanism. We then compute dynamic ERPT coefficients taking into account inflation and exchange rate persistence. Estimation results suggest that the pass-through effect to core consumer prices is higher from currency depre

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Sadik-Zada, Elkhan Richard, and Britta Niklas. "Business Cycles and Alcohol Consumption: Evidence from a Nonlinear Panel ARDL Approach." Journal of Wine Economics 16, no. 4 (2021): 429–38. http://dx.doi.org/10.1017/jwe.2021.32.

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AbstractThis study revisits the relationship between economic variables and alcohol consumption from a macro perspective. Focusing explicitly on the asymmetries of the responsiveness of alcohol consumption during the expansion and contraction phases of the business cycle, asymmetric panel estimators are employed. We employ a nonlinear autoregressive distributed lag model for a panel of 24 countries for the period 1961 to 2014. Findings show that expansion leads to a long-term increase in average alcohol consumption, while during contraction, the level of average alcohol consumption persists. E

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Özden, Cihan, and Emrah Beşe. "Environmental Kuznets Curve (EKC) in Australia: Evidence from Nonlinear ARDL Model with a Structural Break." Polish Journal of Environmental Studies 30, no. 3 (2021): 2245–54. http://dx.doi.org/10.15244/pjoes/127555.

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Uche, Emmanuel, and Lionel Effiom. "Financial development and environmental sustainability in Nigeria: fresh insights from multiple threshold nonlinear ARDL model." Environmental Science and Pollution Research 28, no. 29 (2021): 39524–39. http://dx.doi.org/10.1007/s11356-021-12843-8.

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Kisswani, Khalid M. "Evaluating the GDP-energy consumption nexus for the ASEAN-5 countries using nonlinear ARDL model." OPEC Energy Review 41, no. 4 (2017): 318–43. http://dx.doi.org/10.1111/opec.12113.

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Li, Xiao-Lin, Xin Li, and Deng-Kui Si. "Asymmetric determinants of corporate bond credit spreads in China: Evidence from a nonlinear ARDL model." North American Journal of Economics and Finance 52 (April 2020): 101109. http://dx.doi.org/10.1016/j.najef.2019.101109.

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Chang, Bisharat Hussain. "Oil prices and E7 stock prices: an asymmetric evidence using multiple threshold nonlinear ARDL model." Environmental Science and Pollution Research 27, no. 35 (2020): 44183–94. http://dx.doi.org/10.1007/s11356-020-10277-2.

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Zestos, George, Yixiao Jiang, Alex Hamed, and Samuel Raymond. "Public debt, current account, and economic growth in Germany: Evidence from a nonlinear ARDL model." Journal of Economic Asymmetries 28 (November 2023): e00335. http://dx.doi.org/10.1016/j.jeca.2023.e00335.

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Sapra, Sunil. "A comparative study of parametric and semiparametric autoregressive models." International Journal of Accounting and Economics Studies 10, no. 1 (2022): 15–19. http://dx.doi.org/10.14419/ijaes.v10i1.31978.

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Dynamic linear regression models are used widely in applied econometric research. Most applications employ linear autoregressive (AR) models, distributed lag (DL) models or autoregressive distributed lag (ARDL) models. These models, however, perform poorly for data sets with unknown, complex nonlinear patterns. This paper studies nonlinear and semiparametric extensions of the dynamic linear regression model and explores the autoregressive (AR) extensions of two semiparametric techniques to allow unknown forms of nonlinearities in the regression function. The autoregressive GAM (GAM-AR) and aut

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Gocer, Ismet, and Serdar Ongan. "The Relationship between Inflation and Interest Rates in the UK: The Nonlinear ARDL Approach." Journal of Central Banking Theory and Practice 9, no. 3 (2020): 77–86. http://dx.doi.org/10.2478/jcbtp-2020-0037.

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AbstractThis study reconsiders the Fisher effect for the UK from a different methodological perspective. To this aim, the nonlinear ARDL model recently developed by Shin et al. (2014), is applied over the periods of 1995M1-2008M9 and 2008M10-2018M1. This model decomposes the changes in original inflation series as two new series: increases and decreases in inflation rates. Hence, it enables us to examine the Fisher effect in terms of increases and decreases in inflation separately. The empirical findings support asymmetrically partial Fisher effects for the UK in the long-run only for the firs

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