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      Cointegration Testing and Dynamic Simulations of Autoregressive Distributed Lag Models

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          Abstract

          In this article, we introduce dynamac, a suite of commands designed to assist users in modeling and visualizing the effects of autoregressive distributed lag models and in testing for cointegration. We discuss the bounds cointegration test proposed by Pesaran, Shin, and Smith (2001, Journal of Applied Econometrics 16: 289–326), which we have adapted into a command. Because the resulting models can be dynamically complex, we follow the advice of Philips (2018, American Journal of Political Science 62: 230–244) by introducing a flexible command designed to dynamically simulate and plot a variety of types of autoregressive distributed lag models, including error-correction models.

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          Bounds testing approaches to the analysis of level relationships

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            Co-Integration and Error Correction: Representation, Estimation, and Testing

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              Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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                Author and article information

                Journal
                The Stata Journal: Promoting communications on statistics and Stata
                The Stata Journal
                SAGE Publications
                1536-867X
                1536-8734
                December 2018
                December 01 2018
                December 2018
                : 18
                : 4
                : 902-923
                Affiliations
                [1 ]Department of Political Science Auburn University Auburn, AL
                [2 ]Department of Political Science University of Colorado Boulder Boulder, CO
                Article
                10.1177/1536867X1801800409
                e8eb30d0-de8d-46cc-adf2-ec3d5d013a3f
                © 2018

                http://journals.sagepub.com/page/policies/text-and-data-mining-license

                History

                Quantitative & Systems biology,Biophysics
                Quantitative & Systems biology, Biophysics

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