ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series

Ghouse, Ghulam; Khan, Saud Ahmad; Rehman, Atiq Ur; Bhatti, M. Ishaq

doi:10.3390/math9222839

Cited by 25 publications

(26 citation statements)

References 36 publications

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“…However, the methods (e.g., Johansen cointegration tests) face some significant constraints, such as strict pre-determined lag structures and stationarity properties of the data (in which variables have to be stationary at levels or at their first difference), the presence of multiple cointegrating vectors, etc. In these instances, the inferences drawn from the methods might not be reliable (Ghouse et al, 2021; Nkoro & Uko, 2016).…”

Section: Methodsmentioning

confidence: 99%

Indian Experience of Managing Impossible Trinity, Growth and Possible Tradeoff Between FDI and FIIs: Nature of Capital Inflows Matter

Padhi

2022

Global Journal of Emerging Market Economies

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The current focus emphasizes the difficult choices faced by Indian management of the impossible trinity to manage import-led growth. The management highlights two mechanisms by which FDI (foreign direct investment) flows are easily substituted for short-run FII (foreign institutional investment) flows. First, GDP and its growth in an open economy framework and the associated international trade participation can clarify this substitution prospect. Specifically, this study develops reasoning whereby imports under the trilemma management can give some decisive advantage to FII at the cost of FDI to manage Indian import-led growth. Second, it underlines how the related policies, especially the sterilization interventions, constrain the interactions of higher domestic investments (domestic savings), spillover impacts of imports of intermediate and capital goods, and specialized FDI. If so, the Indian economy’s import-led growth can indicate FII and FDI tradeoffs. The study uses the ARDL regression method. The results show that the Indian policy-led macro environment can limit the scope of specialized FDI that aims to induce advanced domestic investment, exports, and FDI interactions. India’s focus on import-led growth thereby underpins how FII substitutes FDI.

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Section: Methodsmentioning

confidence: 99%

Indian Experience of Managing Impossible Trinity, Growth and Possible Tradeoff Between FDI and FIIs: Nature of Capital Inflows Matter

Padhi

2022

Global Journal of Emerging Market Economies

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“…But studies show that there is no spurious regression problem in ARDL models if all variables are stationary at level I(1) level. Ghouse et al 71 showed in a study that the ARDL model can be used as an alternative tool to avoid the spurious regression problem.…”

Section: The Stationary Test Of the Variablesmentioning

confidence: 99%

Impact of Determinant Macro Economic Variables on Environmental Changes in Iran

Sepehrdoust

Tartar

Mohtashami

2023

Environ�Health�Insights

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Sustainable economic development involves both improving the socio-economic quality of life in the present and improving environmental conditions for future generations. The main objective of the study was to investigate the impact of the determinant macroeconomic variables, including economic complexity, construction, energy consumption, and housing sector expenditures, on environmental changes in Iran over the period 1991 to 2019; using the autoregressive distributed lag (ARDL) model. The results show that at the macro level, an increase in the economic complexity index can reduce pollution in both the short and long term. The effects of further expansion of the housing sector and household energy consumption on pollution are positive and significant in both the short and long run. The error correction model (ECM = 0.65) shows that 65% of the imbalances in each period are corrected in the next period. Based on the obtained results, it is recommended to take serious measures to improve the structure of production and increase the country’s economic complexity index; in other words, to produce goods with higher knowledge and technology and apply policies to improve the level of household energy consumption leading to air pollution reduction. Jel: Q40, Q48, Q50, Q52

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“…26 Gonzalo and Lee (1998) recommend using various techniques in order to avoid empirical pitfalls in the case of fractional integration of the time series. 27 See Ghouse et al (2018) for further insights on the ARDL method in the context of spurious regression.…”

Section: The General Settingmentioning

confidence: 99%

The challenging estimation of trade elasticities: Tackling the inconclusive Eurozone evidence

Keil

2022

World Economy

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This paper sheds light on serious methodological difficulties of employing the empiric export equation in order to derive long-run trade elasticities. The unreliable estimated price coefficient (Kaldor Paradox) and the potential presence of cointegration are identified as the most relevant points. It can be shown that difficulties are in part due to methodological issues. New empirical evidence, encompassing eleven Euro area countries and the timespan 1995-2019, has been obtained from different cointegration techniques. In seven out of eleven cases a robust long-run relationship can be detected and price elasticity was consistently found being significant and negative.

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ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series

Cited by 25 publications

References 36 publications

Indian Experience of Managing Impossible Trinity, Growth and Possible Tradeoff Between FDI and FIIs: Nature of Capital Inflows Matter

Indian Experience of Managing Impossible Trinity, Growth and Possible Tradeoff Between FDI and FIIs: Nature of Capital Inflows Matter

Impact of Determinant Macro Economic Variables on Environmental Changes in Iran

The challenging estimation of trade elasticities: Tackling the inconclusive Eurozone evidence

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