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Nonlinear Autoregressive Distributed Lag Model

A nonlinear autoregressive distributed lag (NARDL) analysis of west texas intermediate oil prices and the DOW JONES index

A nonlinear autoregressive distributed lag (NARDL) analysis of west texas intermediate oil prices and the DOW JONES index

... The paper explores the link between oil prices and Dow Jones Index in a nonlinear autoregressive distributed lag (NARDL) framework. Shin et al. [1] introduce short- and long-run nonlinearities ...

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An Assymetric Evaluation of Oil Price- Inflation Nexus: Evidence from Nigeria

An Assymetric Evaluation of Oil Price- Inflation Nexus: Evidence from Nigeria

... the Nonlinear Autoregressive Distributed Lag (NARDL) approach of Shin et ...to model asymmetric relationship between variables (Shin et ...the nonlinear long-run model is ...

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The Effect of Inflation Rates on Stock Market Returns in Sudan: The Linear Autoregressive Distributed Lag Model

The Effect of Inflation Rates on Stock Market Returns in Sudan: The Linear Autoregressive Distributed Lag Model

... correction model tests, the results showed that inflation rates were negatively associated with stock ...a nonlinear autoregressive distributed lag (NARDL) approach, identified the ...

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Impact of Oil Price Changes on Selected Macroeconomic Variables in Nigeria

Impact of Oil Price Changes on Selected Macroeconomic Variables in Nigeria

... VAR model to examine the impact of oil price and inflation in USA quarterly data from 1948:1 to ...the Autoregressive Distributed Lags (ARDL) method to study the pass-through effect of oil prices in ...

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The effect of real exchange rate on unemployment

The effect of real exchange rate on unemployment

... the model of autoregressive distributed lag was used to assess the relationship between variables, and the optimal lag length was ...Optimal lag for unemployment rate, gross ...

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Economic forecasts with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn

Economic forecasts with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn

... an autoregressive distributed lag model (ADL) is ...The model is solved by ‘mixed estimation’ set forth in Theil and Goldberger ...

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Essays on exchange rate behaviour in South Africa

Essays on exchange rate behaviour in South Africa

... There is good reason to believe that the economic effects of exchange rate misalignment could be asymmetric and nonlinear (i.e. the response can be different based on the direction and size of the misalignment). ...

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Causality Relation Among Export, Import And Exchange Rate In Indonesia

Causality Relation Among Export, Import And Exchange Rate In Indonesia

... analysis model concluded that exchange rate had possitively and significantly influence towards Indonesia ...ECM model approach with quarterly data in period of 2005Q1- ...

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Sustainability of the Current Account: Evidence from Pakistan

Sustainability of the Current Account: Evidence from Pakistan

... of the 35 developing countries export coefficient was positive and statistically significantly different from unity. Narayan and Narayan (2005) have investigated the long-run relationship between exports and imports for ...

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The Relationship between FDI outflows, Exports and GDP in India: An Application of the Autoregressive Distributed Lag Model

The Relationship between FDI outflows, Exports and GDP in India: An Application of the Autoregressive Distributed Lag Model

... test suggests that all variables are cointegrated when we used outbound FDI as the dependent variable. The results indicate that, though all the variables are helpful in explaining the long-run movement in FDI outflows, ...

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An Empirical Analysis of Cambodia's Import Demand Function

An Empirical Analysis of Cambodia's Import Demand Function

... ARDL model (1,1,0,0,0, 1, 1) reveals the results of the long-and short-run coefficients for the Cambodia’s import demand function, as reported in the table ...the model show the expected sign for all the ...

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International Technology Spillover, Energy Consumption and CO2 Emissions in China

International Technology Spillover, Energy Consumption and CO2 Emissions in China

... tage, forerunners strongly inhibits the spillovers of their advanced technology. Therefore, involuntary spread of technology from the forerunners, videlicet, international technology spillovers or R&D spillovers, is ...

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The relationship between energy consumption, economic growth and carbon dioxide emissions in Pakistan

The relationship between energy consumption, economic growth and carbon dioxide emissions in Pakistan

... the model for energy consumption, economic growth, and CO2 ...Distributive Lag (ARDL) bound testing for cointegration. ARDL model have different advantages as compared to other cointegration ...ARDL ...

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Investigating the Asymmetric Effect of Sukuk Returns on Economic Growth - Evidence from Indonesia, a NARDL Perspective

Investigating the Asymmetric Effect of Sukuk Returns on Economic Growth - Evidence from Indonesia, a NARDL Perspective

... NARDL model utilizes both positive and negative partial sum decompositions, allowing for the detection of an asymmetric effect both in the long- and the short-run (Karim, Karim, & Shukri, ...

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Weather Impact on Heat Related Illness in a Tropical City State, Singapore

Weather Impact on Heat Related Illness in a Tropical City State, Singapore

... TZBN model, similar model selection procedure was conducted as de- scribed above for the binomial ...single lag model, the current effect (lag number = 0) of all considered weather ...

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Impact of price realization on India’s tea export: Evidence from Quantile Autoregressive Distributed Lag Model

Impact of price realization on India’s tea export: Evidence from Quantile Autoregressive Distributed Lag Model

... one lag of ex- port variable was positively related ...displays autoregressive behaviour for the successive months, resulting from the a-priory export contract and the execution of the contract in the ...

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Monetary Uncertainty and Demand for Money Stability in Nigeria: An Autoregressive Distributed Lag Approach

Monetary Uncertainty and Demand for Money Stability in Nigeria: An Autoregressive Distributed Lag Approach

... error-correction model (ECM) where lagged error terms form equation 2 are replaced by combination of lagged level ...our model in equation 3. Equation 3 represents a conventional VAR model where a ...

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International Capital Mobility and Saving Investment Nexus in Nigeria: Revisiting Feldstein Horioka Hypothesis

International Capital Mobility and Saving Investment Nexus in Nigeria: Revisiting Feldstein Horioka Hypothesis

... mobility whereas β=0 is the perfect capital mobility case. In this study, we consider three sample periods: (i) 1980-1985 (period with relatively fixed and rigid controls on capital flows); (ii) 1986 -2014 (including ...

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TROPICAL DEFORESTATION AND ECONOMIC DEVELOPMENT: EVIDENCE FROM BRAZIL

TROPICAL DEFORESTATION AND ECONOMIC DEVELOPMENT: EVIDENCE FROM BRAZIL

... ADL model 7. But this time, it is worthy of note that not only is this model having the best fit among all the models examined so far, but even each of the explanatory variables are most statistically ...

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ON AUTOREGRESSIVE DISTRIBUTED LAG, COINTEGRATION AND ERROR CORRECTION MODEL: An Application to Some Nigeria Macroeconomic Variables

ON AUTOREGRESSIVE DISTRIBUTED LAG, COINTEGRATION AND ERROR CORRECTION MODEL: An Application to Some Nigeria Macroeconomic Variables

... the Autoregressive distributed lag (ARDL) ...a distributed lag model (Dynamic Regression model) relating the two ...By Distributed lag Model, we mean ...

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