Home  >>  Archives  >>  Volume 18 Number 4  >>  st0545

The Stata Journal
Volume 18 Number 4: pp. 902-923

Subscribe to the Stata Journal

Cointegration testing and dynamic simulations of autoregressive distributed lag models

Soren Jordan
Department of Political Science
Auburn University
Auburn, AL
Andrew Q. Philips
Department of Political Science
University of Colorado Boulder
Boulder, CO
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

Download citation: BibTeX  RIS

Download citation and abstract: BibTeX  RIS