Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework

Festschrift in Honor of Peter Schmidt, W.C. Horrace and R.C. Sickles, eds., Forthcoming

44 Pages Posted: 13 Apr 2011 Last revised: 23 Oct 2013

See all articles by Yongcheol Shin

Yongcheol Shin

Independent

Byungchul Yu

Dept. of International Trade, Dong-A University

Matthew Greenwood-Nimmo

University of Melbourne; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

Date Written: October 21, 2013

Abstract

This paper develops a cointegrating nonlinear autoregressive distributed lag (NARDL) model in which short- and long-run nonlinearities are introduced via positive and negative partial sum decompositions of the explanatory variables. We demonstrate that the model is estimable by OLS and that reliable long-run inference can be achieved by bounds-testing regardless of the integration orders of the variables. Furthermore, we derive asymmetric dynamic multipliers that graphically depict the traverse between the short- and the long-run. The salient features of the model are illustrated using the example of the nonlinear unemployment-output relationship in the US, Canada and Japan.

Keywords: Asymmetric Cointegrating Relationships, Asymmetric Dynamic Multipliers, Nonlinear ARDL (NARDL) ECM-based Estimation and Tests, Nonlinear Unemployment-Output Relationship, Asymmetric Gasoline Price Adjustment

JEL Classification: C12, C13, J64

Suggested Citation

Shin, Yongcheol and Yu, Byungchul and Greenwood-Nimmo, Matthew, Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (October 21, 2013). Festschrift in Honor of Peter Schmidt, W.C. Horrace and R.C. Sickles, eds., Forthcoming. Available at SSRN: https://ssrn.com/abstract=1807745 or http://dx.doi.org/10.2139/ssrn.1807745

Yongcheol Shin

Independent

No Address Available

Byungchul Yu

Dept. of International Trade, Dong-A University ( email )

2-Ga Bumin-Dong
Busan
Korea, Republic of (South Korea)

Matthew Greenwood-Nimmo (Contact Author)

University of Melbourne ( email )

185 Pelham Street
Carlton, Victoria 3053
Australia

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) ( email )

ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
Australia

Register to save articles to
your library

Register

Paper statistics

Downloads
3,631
Abstract Views
9,382
rank
2,645
PlumX Metrics