ON AUTOREGRESSIVE DISTRIBUTED LAG, COINTEGRATION AND ERROR CORRECTION MODEL: An Application to Some Nigeria Macroeconomic Variables
2012 ◽
Vol 02
(08)
◽
pp. 56-62
Keyword(s):
Long Run
◽
This paper reviews the use of the traditional ARDL and the ARDL approach to cointegration for the analysis of short-run dynamic and long run relationship when series are difference stationary (series can be integrated of different orders). The two models were used to estimate the short-run dynamics and the long run relationships between selected Nigeria’s macroeconomic series. The results compares favorably with the theory that the ARDL is equivalent to the short-run dynamics of the error correction model (the resultant model from the ARDL approach to cointegration).