Recent developments of the autoregressive distributed lag modelling framework
Recent developments of the autoregressive distributed lag modelling framework
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DOI：
10.1111/joes.12450
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发表时间：
2023-02-01
影响因子：
5.3
通讯作者：
Shin, Yongcheol
中科院分区：
文献类型：
--
作者：
Cho, Jin Seo;Greenwood-Nimmo, Matthew;Shin, Yongcheol
我们回顾了自回归分布滞后（ARDL）模型的文献，从它的起源在自相关趋势平稳过程的分析，其随后的应用在协整非平稳时间序列的分析。然后，我们调查几个最近的扩展的ARDL模型，包括非对称和非线性概括的ARDL模型，分位数ARDL模型，汇集平均组动态面板数据模型和时空ARDL模型。
We review the literature on the autoregressive distributed lag (ARDL) model, from its origins in the analysis of autocorrelated trend stationary processes to its subsequent applications in the analysis of cointegrated non-stationary time series. We then survey several recent extensions of the ARDL model, including asymmetric and non-linear generalisations of the ARDL model, the quantile ARDL model, the pooled mean group dynamic panel data model and the spatio-temporal ARDL model.