Cointegration Testing and Dynamic Simulations of Autoregressive Distributed Lag Models

Stata Journal - Tập 18 Số 4 - Trang 902-923 - 2018
Soren Jordan1, Andrew Philips2
1Department of Political Science Auburn University Auburn, AL
2Department of Political Science University of Colorado Boulder Boulder, CO

Tóm tắt

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 of Philips (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.

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Stata Journal

Tập 18 Số 4

902-923

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