ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series

ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series

In conventional Econometrics, the unit root and cointegration analysis are the only ways to circumvent the spurious regression which may arise from missing variable (lag values) rather than the nonstationarity process in time series data. We propose the Ghouse equation solution of autoregressive dis...

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Bibliographic Details
Main Authors: Ghulam Ghouse, Saud Ahmad Khan, Atiq Ur Rehman, Muhammad Ishaq Bhatti
Format: Article
Language:English
Published: MDPI AG 2021-11-01
Series:Mathematics
Subjects:
spurious regression
missing lag value
unit root
cointegration
ARDL
Online Access:https://www.mdpi.com/2227-7390/9/22/2839

Internet

https://www.mdpi.com/2227-7390/9/22/2839

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