182 AJBMR • Doi Publications
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  • ON AUTOREGRESSIVE DISTRIBUTED LAG, COINTEGRATION AND ERROR CORRECTION MODEL: An Application to Some Nigeria Macroeconomic Variables
    â–ºOlanrewaju I. Shittu, Raphael A. Yemitan and OlaOluwa S. Yaya

     10.52283/NSWRCA.AJBMR.20120208A07

    ABSTRACT
    This paper reviews the use of the traditional ARDL and the ARDL approach to cointegration for the analysis of short-run dynamic and long run relationship when series are difference stationary (series can be integrated of different orders). The two models were used to estimate the short-run dynamics and the long run relationships between selected Nigeria’s macroeconomic series. The results compares favorably with the theory that the ARDL is equivalent to the short-run dynamics of the error correction model (the resultant model from the ARDL approach to cointegration).
    Keywords: Autoregressive distributed lag, Cointegration, Error correction, Inflation, Gross domestic product (GDP), Time Series Econometrics.
     

    Pages:56-62 :: Download-View
 
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