SOFTWARE SOLUTIONS FOR ARDL MODELS

• Main Author: Nicolae-Marius JULA
• Format: Article
• Language: English
• Published: Nicolae Titulescu University Publishing House 2015-07-01
• Series: Challenges of the Knowledge Society
• Subjects: ARDL models; Autoregressive distributed lag model; Cointegration; E-Views; software econometrics; economic policies; CPI.
• 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

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.