Regression model
ARDL Bounds Test (Pesaran Bounds Test)
The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations.
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Sources
- Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI: 10.1002/jae.616 ↗
- Narayan, P. K. (2005). The Saving and Investment Nexus for China: Evidence from Cointegration Tests. Applied Economics, 37(17), 1979–1990. DOI: 10.1080/00036840500278103 ↗
Related methods
Referenced by
Bayesian ARDL Bounds TestCointegration TestFMOLS EstimatorFourier ARDL Bounds TestGranger CausalityJohansen Cointegration TestNonlinear ARDLNonlinear ARDL bounds testNonlinear Engle-Granger CointegrationNonlinear NARDLNonlinear VECMPanel NARDLPooled Mean Group (PMG)Robust ARDL bounds testRobust NARDLStructural Break ARDL Bounds TestStructural break Engle-Granger cointegrationThreshold RegressionTime-varying parameter ARDL bounds testTime-varying parameter NARDLVAR ModelVECM