For further confirmation of non-linearity, the BDS test by Broock et al. (1996) (BDS) is applied to explore the residuals of the linear ARDL model. The results of the BDS non-linearity test are shown in Table2. The findings suggest the rejection of the null hypothesis, confirming the st...
Determine the appropriate lag structure of the model selected in Step 3. Estimate the model in Step 4 using Ordinary Least Squares (OLS). Ensure residuals from Step 5 are serially uncorrelated and homoskedastic. Perform the Bounds Test. Estimate speed of adjustment, if appropriate. The following...
Model Specification To observe the growth effect of interest rate volatility in the nation, a model is specified to capture the relationship that exists between the variables. Thus, gross domestic product (GDP) is the dependent variable, whereas interest rate volatility is the independent variable of...
Introduction ARDL model Bounds testing Stata syntax Example Conclusion ardl: Stata module to estimate autoregressive distributed lag models Sebastian Kripfganz1 Daniel C. Schneider2 1University of Exeter Business School, Department of Economics, Exeter, UK 2Max Planck Institute for Demographic Research, ...
If the conditions are not followed, it may lead to model misspecification and inconsistent and unrealistic estimates with its implication on forecast and policy. However, this paper cannot claim to have treated the underlying issues in their greatest details, but have endeavoured to provide ...
Introduction ARDL model EC representation Bounds testing Postestimation Further topics Summary ardl: Estimating autoregressive distributed lag and equilibrium correction models Sebastian Kripfganz1 Daniel C. Schneider2 1University of Exeter Business School, Department of Economics, Exeter, UK 2Max Planck ...
In this study, we have applied the QARDL model to analyze the impact of renewable energy, institutional quality, tourism, and GDP on the ecological footprint in Pakistan from 1995 to 2017. The results of this study suggest that increased utilization of renewable energy and tourism improve the ...
Even if all the three previous facts could also be tested within a nonlinear threshold Vector Error Correction Model (VECM) or by smooth transition model,12 these models may suffer from the convergence problem due to the proliferation of the number of parameters, which is not the case with ...
4.1.3 Dynamic interaction using auto regressive distributed lag (ARDL) model After the completion of pre-estimation tests for ARDL, the next step is to find the short and long-run relationship between carbon emission and selected variables for the sample countries using the ARDL equation. The opt...
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