SOFTWARE SOLUTIONS FOR ARDL MODELS
VAR type models can be used only for stationary time series. Causality analyses through econometric models need that series to have the same integrated order. Usually, when constraining the series to comply these restrictions (e.g. by differentiating), economic interpretation of the outcomes may bec...
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| Format: | Article |
| Language: | English |
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Nicolae Titulescu University Publishing House
2015-07-01
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| Series: | Challenges of the Knowledge Society |
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| Online Access: | http://cks.univnt.ro/uploads/cks_2015_articles/index.php?dir=12_IT_in_social_sciences%2F&download=CKS+2015_IT_in_social_sciences_art.143.pdf |
| Summary: | VAR type models can be used only for stationary time series. Causality analyses through econometric models need that series to have the same integrated order. Usually, when constraining the series to comply these restrictions (e.g. by differentiating), economic interpretation of the outcomes may become difficult. Recent solution for mitigating these problems is the use of ARDL (autoregressive distributed lag) models. We present implementation in E-Views of these models and we test the impact of exchange rate on consumer price index. |
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| ISSN: | 2068-7796 2068-7796 |