Cointegration Testing and Dynamic Simulations of Autoregressive Distributed Lag Models. (December 2018)

• Record Type: Journal Article
• Authors: Jordan, Soren; Philips, Andrew Q.
• Is Part Of: Stata journal. Volume 18:Number 4(2018)
• Page Start: 902
• Page End: 923
• Publication Date: 2018-12
• Subjects: st0545 -- dynamac -- pssbounds -- dynardl -- cointegration -- dynamic modeling -- autoregressive distributed lag -- error correction; Statistics -- Periodicals; Statistics -- Computer programs -- Periodicals; 001.422
• DOI: 10.1177/1536867X1801800409
• Languages: English
• ISSNs: 1536-867X

Abstract

In this article, we introduce dynamac, a suite of commands designed to assist users in modeling and visualizing the effects of autoregressive distributed lag models and in testing for cointegration. We discuss the bounds cointegration test proposed by Pesaran, Shin, and Smith (2001, Journal of Applied Econometrics 16: 289–326), which we have adapted into a command. Because the resulting models can be dynamically complex, we follow the advice ofPhilips (2018, American Journal of Political Science 62: 230–244) by introducing a flexible command designed to dynamically simulate and plot a variety of types of autoregressive distributed lag models, including error-correction models.