Sebastian Kripfganz

Senior Lecturer (advanced assistant professor) in Econometrics,
University of Exeter Business School, Department of Economics

Contact details   → Curriculum vitae

 
© Sebastian Kripfganz
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Research
Stata Programs
Title and Abstract
ardl: Estimating autoregressive distributed lag and equilibrium correction models
We present a Stata package for the estimation of autoregressive distributed lag (ARDL) models in a time-series context. The ardl command can be used to estimate an ARDL model with the optimal number of autoregressive and distributed lags based on the Akaike or Schwarz/Bayesian information criterion. The regression results can be displayed in the ARDL levels form or in the error-correction representation of the model. The latter separates long-run and short-run effects and is available in two different parameterizations of the long-run (cointegrating) relationship. The popular bounds testing procedure for the existence of a long-run levels relationship is implemented as a postestimation feature. Comprehensive critical values and approximate p-values obtained from response-surface regressions facilitate statistical inference.
Suggested Citation
Kripfganz, S., and D. C. Schneider (2022). ardl: Estimating autoregressive distributed lag and equilibrium correction models. Research Center for Policy Design Discussion Paper TUPD-2022-006, Tohoku University.
Related Work
Kripfganz, S., and D. C. Schneider (2020). Response surface regressions for critical value bounds and approximate p-values in equilibrium correction models. Oxford Bulletin of Economics and Statistics 82 (6), 1456-1481.
Authors
Sebastian Kripfganz
University of Exeter;
Tohoku University
Daniel C. Schneider
Max Planck Institute for Demographic Research
Working Paper
Research Center for Policy Design Discussion Paper TUPD-2022-006, Tohoku University
Presentation
Proceedings of the 2018 London Stata Conference
Stata Program
ardl

www.kripfganz.de