Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework

By Yongcheol Shin, Byungchul Yu, Matthew Greenwood‐Nimmo. 2013

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View Paper: https://www.semanticscholar.org/paper/bb07b157497bf0ab71e37bddd32cb9da6d6449bf

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In Economics and Econometrics

Citations in the corpus

Constructing a Global Fear Index for the COVID-19 Pandemic (2020, result): “This approach is similar in spirit to that of Shin, Yu, and Greenwood-Nimmo (2014), however, we favor the one used in this paper due to its simplicity and easy replication of results.”
Electricity access and income inequality in South Africa: Evidence from Bayesian and NARDL analyses (2020, methodology): “The NARDL estimation method can be expressed as [66]:”
Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests (2015, background): “hand, many researchers have indicated nonlinear attributes of economic and financial time series (e.g., Choudhry et al., 2014; Keynes, 1936; Hiemstra & Jones, 1994; Shiller, 1993, 2005; Shin et al., 2014).”
Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests (2016, background): “…Jones (1994) and subsequent research papers have provided further evidence in a nonlinear setting with respect to various financial variables (e.g., Silvapulle and Choi, 1999; Chen and Wuh-Lin, 2004; Diks and Panchenko, 2006; Bekiros and Diks, 2008a, 2008b; Shin et al., 2013; and Bekiros, 2014).”
Asymmetric impact of oil prices, exchange rate, and inflation on tourism demand in Pakistan: new evidence from nonlinear ARDL (2018, methodology): “…∑m k=1 ukDE − t−k + ∑m k=1 ukDI + t−k + ∑m k=1 ukDI − t−k + l1Tdt−1 + l2CO2t−1 + l3Iqt−1 + l4Op+t−1 + l4OP−t−1 + l6E+t−1 + l7E−t−1 + l8I+t−1 + l9I−t−1 + mt (12) After estimation eq 12, Shin et al. (2014) employed the bounds testing approach, developed by Pesaran, Shin, and Smith (2001), and…”
How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique (2020, background): “…which is another advantage of QARDL over nonlinear models; take Nonlinear Autore-gressive Distributed Lag (NARDL) model, for example, the threshold is not data-driven rather it is arbitrarily set to zero, which means that the normality is imposed on data exogenously in NARDL (Shin et al., 2014).”
The symmetrical and asymmetrical effects of foreign direct investment and financial development on carbon emission: evidence from Nigeria (2020, methodology): “Recently, studies have utilized the NARDL to examine the interaction between CO2 emissions and its determinants in various countries [6, 26, 52, 54, 68, 69, 97].”