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

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Cointegration testing and dynamic simulations of autoregressive distributed lag models

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