Regression modelEconometrics / time series
Nonlinear ARDL (NARDL) Model
The Nonlinear ARDL (NARDL) model extends the linear ARDL bounds-testing framework to allow asymmetric long-run and short-run relationships. By decomposing the regressor into cumulative positive and negative partial sums, it tests whether increases and decreases in a variable exert different effects on the outcome — a feature especially relevant in financial and energy economics where positive and negative shocks rarely cancel out symmetrically.
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Sources
- Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. C. Sickles & W. C. Horrace (Eds.), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications (pp. 281–314). Springer. link ↗
- 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. link ↗
Related methods
Referenced by
Bayesian ARDL Bounds TestBayesian NARDLBayesian Quantile-on-Quantile RegressionFourier ARDL Bounds TestFourier NARDLFourier Quantile-on-Quantile RegressionNonlinear AR ModelNonlinear Engle-Granger CointegrationNonlinear Johansen CointegrationNonlinear OLSNonlinear PP unit root testNonlinear SVAR ModelNonlinear VAR ModelPanel ARDL Bounds TestQuantile-on-Quantile RegressionRobust ARDL bounds testStructural Break ARDL Bounds TestStructural Break NARDLStructural Break Quantile-on-Quantile RegressionTime-varying parameter ARDL bounds test