Have Your Cake and Eat It Too? Cointegration and Dynamic Inference from Autoregressive Distributed Lag Models

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Authors Andrew Q. Philips
Journal/Conference Name AMERICAN JOURNAL OF POLITICAL SCIENCE
Paper Category
Paper Abstract Although recent articles have stressed the importance of testing for unit roots and cointegration in time-series analysis, practitioners have been left without a straightforward procedure to implement this advice. I propose using the autoregressive distributed lag model and bounds cointegration test as an approach to dealing with some of the most commonly encountered issues in time-series analysis. Through Monte Carlo experiments, I show that this procedure performs better than existing cointegration tests under a variety of situations. I illustrate how to implement this strategy with two step-by-step replication examples. To further aid users, I have designed software programs in order to test and dynamically model the results from this approach.
Date of publication 2018
Code Programming Language R
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