Abstract
We review the literature on the autoregressive distributed lag (ARDL) model, from its origins in the analysis of autocorrelated trend stationary processes to its subsequent applications in the analysis of cointegrated non-stationary time series. We then survey several recent extensions of the ARDL model, including asymmetric and non-linear generalisations of the ARDL model, the quantile ARDL model, the pooled mean group dynamic panel data model and the spatio-temporal ARDL model.
| Original language | English |
|---|---|
| Pages (from-to) | 7-32 |
| Number of pages | 26 |
| Journal | Journal of Economic Surveys |
| Volume | 37 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2023 Feb |
Bibliographical note
Funding Information:We are grateful for the helpful comments of the editor, the associate editor and two anonymous referees. Part of the work for this paper was completed when Cho was visiting the Department of Economics, Chinese University of Hong Kong, whose kind hospitality is gratefully acknowledged. We are also pleased to acknowledge financial support from the Economic and Social Research Council (grant number ES/T01573X/1) and the Yonsei University Research Grant of 2020. The usual disclaimer applies.
Funding Information:
We are grateful for the helpful comments of the editor, the associate editor and two anonymous referees. Part of the work for this paper was completed when Cho was visiting the Department of Economics, Chinese University of Hong Kong, whose kind hospitality is gratefully acknowledged. We are also pleased to acknowledge financial support from the Economic and Social Research Council (grant number ES/T01573X/1) and the Yonsei University Research Grant of 2020. The usual disclaimer applies.
Publisher Copyright:
© 2021 John Wiley & Sons Ltd.
All Science Journal Classification (ASJC) codes
- Economics and Econometrics