ARDL bounds test for cointegration: Replicating the Pesaran et al. (2001) results for the UK earnings equation using R. (18th June 2022)

• Record Type: Journal Article
• Authors: Natsiopoulos, Kleanthis; Tzeremes, Nickolaos G.
• Is Part Of: Journal of applied econometrics. Volume 37:Number 5(2022)
• Page Start: 1079
• Page End: 1090
• Publication Date: 2022-06-18
• Subjects: ARDL -- bounds test -- cointegration -- earnings equation -- R; Econometrics -- Periodicals; 330.015195
• DOI: 10.1002/jae.2919
• Languages: English
• ISSNs: 0883-7252

Abstract

Summary: This paper replicates the UK earnings equation using the autoregressive distributed lag (ARDL) modeling approach and the bounds test for cointegration by Pesaran et al. ( Journal of Applied Econometrics, 2001, 16(3), 289–326). The findings from the narrow sense fully replicate the original results using the open‐source language R and the ARDL package. In the wide sense replication, augmented data are employed, thus extending the end period from 1997:Q4 to 2019:Q4, using an alternative measure for union power. Adopting the new dataset, this study reinvestigates the UK earnings equation, thereby providing supporting evidence of a long‐run relationship and reveals empirical findings about the long‐run effects of productivity, unemployment, tax wedge, and union power on wages.