Integration of stock markets using autoregressive distributed lag bounds test approach

2022 ◽  
Vol 26 (1) ◽  
pp. 37
Author(s):  
Nikunj Patel ◽  
Bhavesh Patel
Keyword(s):  
Stock Markets ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Bounds Test

scholarly journals The ARDL Method in the Energy-Growth Nexus Field; Best Implementation Strategies

Economies ◽  
2019 ◽  
Vol 7 (4) ◽  
pp. 105 ◽  
Author(s):  
Angeliki N. Menegaki
Keyword(s):  
Implementation Strategies ◽  
Research Papers ◽  
Vast Number ◽  
Energy Growth ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Lag Model ◽  
Bounds Test ◽  
Cointegration Testing

A vast number of the energy-growth nexus researchers, as well as other “X-variable-growth nexus” studies, such as for example the tourism-growth nexus, the environment-growth nexus or the food-growth nexus have used the autoregressive distributed lag model (ARDL) bounds test approach for cointegration testing. Their research papers rarely include all the ARDL procedure steps in a detailed way and thus they leave other researchers confused with the series of steps that must be followed and the best implementation paradigms so that they not allow any obscure aspects. This paper is a comprehensive review that suggests the steps that need to be taken before the ARDL procedure takes place as well as the steps that should be taken afterward with respect to causality investigation and robust analysis.

The Effect of Foreign Direct Investment Inflows on Income Inequality: Evidence from China

2015 ◽  
Vol 15 (4) ◽  
pp. 443-453 ◽  
Author(s):  
Jai S. Mah
Keyword(s):  
Income Inequality ◽  
Direct Investment ◽  
Small Sample ◽  
Cointegration Test ◽  
Fdi Inflows ◽  
Linear Effect ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Cointegration Tests ◽  
Bounds Test

This paper uses data for China during the period 1982–2010 and tests the effect of FDI inflows on income inequality, which is measured by the urban Gini coefficient. A small-sample cointegration test and autoregressive distributed lag bounds test are used as the cointegration tests. According to them, the variables under consideration are not cointegrated. The GMM estimation results show that income inequality worsens with FDI flows into China. The evidence from China shows a non-linear effect of FDI inflows on income inequality.

scholarly journals Nexus between Agriculture and Unemployment in Nigeria

2019 ◽  
pp. 1-13
Author(s):  
Oluwafemi S. Enilolobo ◽  
Saidi A. Mustapha ◽  
Onyeka P. Ikechukwu
Keyword(s):  
Error Correction ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Model Estimation ◽  
Correction Model ◽  
Agriculture Sector ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Bounds Test

This study examined the impact of agriculture sector growth on unemployment level as well as the direction of causality between agricultural sector output and unemployment level in Nigeria. Secondary annual time series data between 1981 and 2016 were used for the study. Data on unemployment rate, agriculture sector output, public expenditure and industrial output were obtained from the Central Bank of Nigeria’s statistical Bulletin while data on FDI and population growth were obtained from the World Bank World Development Indicators. The data were analyzed using ADF (Augmented Dickey Fuller Test) unit root test, Autoregressive distributed lag Bounds test of cointegration, Autoregressive distributed lag error correction model estimation and Granger causality. The results of ADF unit root test revealed variables were at different orders of integration, the ARDL bounds test revealed cointegration between variables, and the Autoregressive distributed lag error correction model estimation revealed that change in agriculture output in the current period is negative and significant for current unemployment level in Nigeria, while the change in one period lagged agriculture output was positive and significant for current unemployment level in Nigeria. Also the error correction term indicated that about 74.10 percent of the disequilibrium in the system in the previous year would be corrected in the current year. Granger causality test results revealed bi-directional causality between agriculture output and unemployment level in Nigeria. The study recommends that the Nigeria government should using strategic policies targeted at boosting agriculture output such as increasing access to land for peasant rural farmers, investments in agricultural research, and so on, seek to boost agriculture output in order to reduce unemployment in Nigeria. Further, the Nigeria government should ensure that agriculture sector development policies are consistent with the objective of reducing unemployment in Nigeria.

An augmented autoregressive distributed lag bounds test for cointegration

2019 ◽  
Vol 80 ◽  
pp. 130-141 ◽  
Author(s):  
Chung Yan Sam ◽  
Robert McNown ◽  
Soo Khoon Goh
Keyword(s):  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Bounds Test

scholarly journals Is job insecurity a driver of the housing cycle? Some evidence in the Spanish case

2015 ◽  
Vol 62 (1) ◽  
pp. 1-14 ◽  
Author(s):  
Philip Arestis ◽  
Ana González-Martínez
Keyword(s):  
Housing Market ◽  
Job Insecurity ◽  
Poor Quality ◽  
Employment Protection ◽  
Second Stage ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
The Poor ◽  
Bounds Test

The aim of this paper is to study a possible connection between the characteristics of the labour market, namely, employment protection and flexibility, and the dynamics of the housing market. More specifically, this contribution analyses whether the poor quality of employment in a given economy could cause the collapse of the housing market and impairs its recovery. In the second stage of our analysis, we provide estimates for Spain over the period 1984-2014. In doing so, the autoregressive distributed lag (ARDL) bounds test for cointegration is employed.

Wagner’s Hypothesis: An Empirical Verification

2016 ◽  
Vol 6 (1) ◽  
pp. 1-12 ◽  
Author(s):  
Masudul Hasan Adil ◽  
Aadil Ahmad Ganaie ◽  
B. Kamaiah
Keyword(s):  
Public Expenditure ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Indian Context ◽  
Long Run ◽  
Weak Evidence ◽  
Lag Model ◽  
Bounds Test ◽  
The Relationship

This study explores the relationship between public expenditure (PE) and gross domestic product (GDP) to verify whether the Wagner’s hypothesis holds good in the Indian context. We cover the period from 1970 to 2013 and use econometric tools like Autoregressive Distributed Lag Model (ARDL) test to check the long-run and causal relationship among the variables. The results of the bounds test suggest that there exists cointegration between PE and GDP, but we found weak evidence for Wagner’s hypothesis as well.

Pengaruh ACFTA, PDB dan Kurs Terhadap Impor Barang Asal Republik Rakyat Tiongkok (RRT)

2020 ◽  
Vol 4 (2) ◽  
Author(s):  
Mohammad Fachrudin ◽  
Wahyu Hidayat Halimun Syah
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Real Exchange Rate ◽  
Short Term ◽  
The Real ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Real Gdp ◽  
Bounds Test ◽  
Positive Effect

ABSTRACTThe main objective of this research is to see the effect of the ACFTA free trade policy, gross domestic product (GDP), and the real exchange rate on imports of goods from the People's Republic of China (PRC). This study uses monthly data from January 2008 to September 2019. This study uses the reference to the introduction to import duties at the Normal Track stage starting on January 1, 2010, as the effective period of the ACFTA's implementation. The analytical method used is the Autoregressive Distributed Lag (ARDL) model with the Bounds Test cointegration approach. The results show that simultaneously, both in the long and short term, ACFTA, Indonesia's real GDP, and the real exchange rate affect imports of goods from PRC. Partially, in the long run, ACFTA and real GDP have a positive effect on imports of goods from PRC, while the real exchange rate does not affect imports of goods from PRC. In the short term, real GDP and the real exchange rate have a positive effect on imports of goods from PRC, while ACFTA does not affect. In addition, the results also show that the increase in imports of goods from PRC was mainly stimulated by an increase in national income (real GDP) with an elasticity of 1.90 in the short term and 1.49 in the long term. The implications of this research for the Government can be used to formulate a national strategy for the import substitution industry.Keywords: imports, free trade, ACFTA, gross domestic product, real exchange rates, ARDL Bounds Test.ABSTRAKTujuan utama dari penelitian ini adalah untuk melihat pengaruh kebijakan perdagangan bebas ACFTA, produk domestik bruto (PDB) dan kurs riil terhadap impor barang asal Republik Rakyat Tiongkok (RRT). Penelitian ini menggunakan data bulanan dari Januari 2008 sampai September 2019 sebagai periode efektif berlakunya ACFTA. Metode analisis yang digunakan adalah model Autoregressive Distributed Lag (ARDL) dengan pendekatan kointegrasi Bounds Test. Secara simultan, baik pada jangka panjang maupun jangka pendek, ACFTA, PDB riil Indonesia dan kurs riil berpengaruh terhadap impor barang asal RRT. Secara parsial, dalam jangka panjang ACFTA dan PDB riil memberikan pengaruh positif terhadap impor barang asal RRT, sementara kurs riil tidak berpengaruh terhadap impor barang asal RRT. Dalam jangka pendek, PDB riil dan kurs riil berpengaruh positif terhadap impor barang asal RRT, sedangkan ACFTA tidak berpengaruh. Hasil penelitian menunjukkan bahwa peningkatan impor barang asal RRT secara utama distimulasi oleh peningkatan pendapatan nasional (PDB riil) dengan tingkat elastisitas sebesar 1,90 pada jangka pendek dan 1,49 pada jangka panjang. Implikasi penelitian ini bagi Pemerintah dapat digunakan untuk menyusun strategi nasional industri substitusi barang impor.Kata kunci: impor, perdagangan bebas, ACFTA, produk domestik bruto, kurs riil, ARDL Bounds Test

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