An augmented autoregressive distributed lag bounds test for cointegration

By Chung Yan Sam, R. Mcnown, S. Goh. Economic Modelling, 2019

324 citations recorded by the source corpus.

Abstract An augmented autoregressive distributed lag (ARDL) bounds test for cointegration involves an extra F-test on the lagged levels of the independent variable(s) in the ARDL equation. Originally, this testing strategy was introduced using the bootstrap procedure. This paper provides both the small sample and asymptotic critical values for easier implementation of the test, making it applicable for a broader range of researchers. Two advantages of this augmented ARDL bounds test are that the assumption of an I(1) dependent variable is not necessary, and a clear conclusion on the cointegration status is provided by the three tests. The augmented ARDL bounds test is demonstrated using an empirical study on government taxation and expenditures. The tests support the tax-and-spend hypothesis of the budgetary policy for the US, the UK, and France.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/40212f83c3956a9500ce5ff6f2fb120e9dfe970a

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In Economics and Econometrics

1. Bibhuti Sarker
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Citations in the corpus

• Nexus between foreign direct investment and economic growth in Bangladesh: an augmented autoregressive distributed lag bounds testing approach (2020, background): “We have reported the critical values of Pesaran et al. (2001), Narayan (2005), and Sam et al. (2019).”