Cointegration testing and dynamic simulations of autoregressive distributed lag models
Soren Jordan
Department of Political Science
Auburn University
Auburn, AL
[email protected]
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Andrew Q. Philips
Department of Political Science
University of Colorado Boulder
Boulder, CO
[email protected]
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Abstract. In this article, we introduce dynamac, a suite of commands designed to
assist users in modeling and visualizing the effects of autoregressive
distributed lag models and in testing for cointegration. We discuss the bounds
cointegration test proposed by Pesaran, Shin, and Smith (2001, Journal of
Applied Econometrics 16: 289–326), which we have adapted into a
command. Because the resulting models can be dynamically complex, we follow
the advice of Philips (2018, American Journal of Political Science 62:
230–244) by introducing a flexible command designed to dynamically
simulate and plot a variety of types of autoregressive distributed lag models,
including error-correction models.
View all articles by these authors:
Soren Jordan, Andrew Q. Philips
View all articles with these keywords:
dynamac, pssbounds, dynardl, cointegration, dynamic modeling, autoregressive distributed lag, error correction
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