Autoregressive Distributed Lag Model of COVID-19 Infected Cases and Deaths

2021 ◽  
Vol 10 (3) ◽  
pp. 767-777
Keyword(s):  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Lag Model

scholarly journals The Determinants of Tourist Expenditure Per Capita in Thailand: Potential Implications for Sustainable Tourism

2021 ◽  
Vol 13 (12) ◽  
pp. 6550
Author(s):  
Wanvilai Chulaphan ◽  
Jorge Fidel Barahona
Keyword(s):  
Natural Resources ◽  
Sustainable Tourism ◽  
Least Square ◽  
Mass Tourism ◽  
Tourist Destinations ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Lag Model ◽  
Per Capita

Tourism authorities in Thailand have consistently pursued profit-seeking mass tourism, resulting in the detriment of the natural resources in major tourist destinations. In response, sustainable tourism projects centered on preserving the environment have been established but neglect the financial needs of tour operators. The objective of this study was to investigate the determinants of tourist expenditure per capita in Thailand using a dataset consisting of 31 countries from 2010 to 2017. The analysis was based on an autoregressive distributed lag model (ARDL) and used a panel estimated generalized least square (ELGS). Generating such knowledge is essential for tourist authorities to develop profitable and sustainable tourism projects in tourist destinations whose natural resources have been affected by profit-seeking tourism. The tourism expenditure per capita is positively affected by word of mouth, income, and the rising prices in other major tourist destinations in Asia. However, it was negatively affected by relative levels of price and corruption. Sustainable tourism projects can be used to develop activities that will help distinguish Thailand from other tourism destinations in Asia. However, in implementing these sustainable tourism initiatives, the mark-up should be minimized to keep tourist prices in Thailand competitive.

scholarly journals The Determinants of Food Prices in Pakistan

2012 ◽  
Vol 17 (1) ◽  
pp. 101-128 ◽  
Author(s):  
Henna Ahsan ◽  
Zainab Iftikhar ◽  
M. Ali Kemal
Keyword(s):  
Active Role ◽  
Food Prices ◽  
Significant Variable ◽  
Demand And Supply ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Lag Model

Controlling prices is one of the biggest tasks that macroeconomic policymakers face. The objective of this study is to analyze the demand- and supply-side factors that affect food prices in Pakistan. We analyze their long-run relationship using an autoregressive distributed lag model for the period 1970–2010. Our results indicate that that the most significant variable affecting food prices in both the long and short run is money supply. We also find that subsidies can help reduce food prices in the long run but that their impact is very small. Increases in world food prices pressurize the domestic market in the absence of imports, which cause domestic food prices to rise. If, however, we import food crops at higher international prices, this can generate imported inflation. The error correction is statistically significant and shows that market forces play an active role in restoring the long-run equilibrium.

scholarly journals Poverty and labour market institutions in Europe

2020 ◽  
Vol 67 (3) ◽  
pp. 277-290
Author(s):  
Giorgio Liotti ◽  
Rosaria Canale
Keyword(s):  
Labour Market ◽  
Economic Crisis ◽  
Generalized Method Of Moments ◽  
Market Regulation ◽  
Macroeconomic Conditions ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Labour Market Regulation ◽  
Lag Model

The aim of this paper is to analyse the effects of flexibility in the labour market on workers? monetary poverty in 15 European countries in the time span 2005-2016. We estimate how the labour market regulation index (LMRI) affects workers? monetary poverty through two empirical exercises: in the first one, we use an autoregressive distributed lag model and, in the second one, the generalized method of moments model. The results suggest that greater flexibility of the labour market is positively correlated with greater monetary poverty among employed people. The result does not change significantly when introducing the effect of the economic crisis and the interaction effect between the economic crisis and the LMRI. Therefore, we conclude that the outcome should be considered to be noticeable whatever the macroeconomic conditions occurring in the labour market.

scholarly journals Comparison the Error Rate of Autoregressive Distributed Lag (ARDL) and Vector Autoregressive (VAR) (Case study: Forecast of Export Quantities in DIY)

2018 ◽  
Vol 18 (2) ◽  
pp. 167-177
Author(s):  
Dewi Kusuma Ningrum ◽  
Sugiyarto Surono
Keyword(s):  
Dynamic Model ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Model Stability ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Integration Test ◽  
Lag Model

Forecasting is estimating the size or number of something in the future. Regression model that enters current independent variable value, and lagged value is called distributed-lag model, if it enters one or more lagged value, it is called autoregressive. Koyck method is used for dynamic model which the lagged length is unknown, for the known lagged length it is used the Almon method. Vector Autoregressive (VAR) is a method that explains every variable in the model depend on the lag movement from the variable itself and all the others variable. This research aimed to explain the application of Autoregressive distributed-lag model and Vector Autoregressive (VAR) method for the forecasting for export amount in DIY. It takes export amount in DIY and inflation data, kurs, and Indonesias foreign exchange reserve. Forecasting formation: defining Koyck and Almon distributed-lag dynamic model, then the best model is chosen and distribution-lag dynamic forecasting is performed. After that it is performed stationary test, co-integration test, optimal lag examination, granger causality test, parameter estimation, VAR model stability, and performs forecasting with VAR method. The forecasting result shows MAPE value from ARDL method obtained is 0.475812%, while MAPE value from VAR method is 0.464473%. Thus it can be concluded that Vector Autoregressive (VAR) method is more effective to be used in case study of export amount in DIY forecasting. Keywords: Koyck; Almon; Lag; Autoregressive Distributed-Lag; Vector Autoregressive;

scholarly journals قياس وتحليل العلاقة بين التطور المالي والنمو الاقتصادي والفقر في العراق في اطار نموذج الانحدار الذاتي للإبطاء الموزع (ARDL) (Autoregressive Distributed lag Model ) للمدة (1980- 2010)

2014 ◽  
Vol 20 (77) ◽  
pp. 244
Author(s):  
سعد عبد نجم العبدلي ◽  
ازهار حسن علي
Keyword(s):  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Lag Model

يعد النظام المالي المتطور ركيزة اساسية في رفع معدلات النمو الاقتصادي وتقليل معدلات الفقر في العالم ، اذ يؤثر التطور المالي في تقليل الفقر بطريقة غير مباشرة ومن خلال قناة وسيطة هي النمو الاقتصادي، اذ يساهم التطور المالي في دعم عملية التنمية الاقتصادية من خلال تعبئة الاموال وتوجيهها الى الانشطة الاكثر كفاءة وذات عائد اقتصادي واجتماعي مرتفع ، كما يساهم  النمو الاقتصادي في تخفيض  الفقر من خلال قناتين الا ولى مباشرة عن طريق زيادة عوامل الانتاج التي يمتلكها الفقراء وتحسين الظروف في القطاعات والمناطق التي يعيش فيها الفقراء، والثانية  غير مباشرة من خلال اعادة توزيع الدخول المتحققة من النمو الاقتصادي فضلا عن الدخول المتحققة من زيادة الايرادات الحكومية والتي تستعمل لتحويل المدفوعات وتحسين مصادر العيش والذي بدوره يساهم في تخفيض مستويات وحدة الفقر. وبأستخدام نموذج قياسي متطور وهو نموذج الانحدار الذاتي للإبطاء الموزع (ARDL) والذي بني على اساس اختيار افضل انموذج لتصحيح الخطأ عن طريق اختبار رتبة التباطؤ، وهو بذلك يعد انموذجا مطور لأنموذج تصحيح الخطأ غير المقيد ، توصل البحث الى وجود علاقة سببية معنوية متجهة من النمو الاقتصادي الى الفقر ، ووجود علاقة سببية معنوية جدا متجهة من التضخم الى الفقر، في حين توجد علاقة سببية ضعيفة متجهة من التطور المالي الى الفقر، كما ان التطور المالي والنمو الاقتصادي لم يكن لهما تأثير معنوي في الحد من الفقر في العراق في الاجل القصير والطويل رغم تأثيرهما العكسي على الفقر، وان التضخم هو العامل الاساسي المؤثر في الحد من الفقر في الاجل القصير والطويل حيث كان تأثيره طردي على الفقر، كما ان سنوات الحرب والحصار هي الاخرى لم يكن لها تأثير معنوي على مستويات الفقر في العراق.

COINTEGRATED-BASED FORECAST OF LONG-RUN RELATIONSHIPS

2021 ◽  
Vol 14(63) (1) ◽  
pp. 153-168
Author(s):  
Klara-Dalma Deszke ◽  
Liliana Duguleana
Keyword(s):  
Vector Error Correction ◽  
Final Consumption ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Vector Error ◽  
Long Run ◽  
Lag Model ◽  
Relationship Of

The Vector Error Correction Model (VECM) and the Autoregressive Distributed Lag Model (ARDL) are used to estimate the cointegration in the case of long-run relationship of quarterly GDP and Final Consumption in Romania during the period 1995 – 2019. The actual data of 2020 Q1 and Q2 were used to check the best model’s validity. The static and dynamic approaches of the ARDL model were used to forecast the Final Consumption for Q3 and Q4 of the year 2020. Applying the cointegration model shows the long term relationship of GDP and Final Consumption, but also the effects of other factors, seen in the differences of Final Consumption from its Long-Run evolution, and comprised in the cointegrating terms.

Consumer Confidence and Consumer Spending in Brazil: A Nonlinear Autoregressive Distributed Lag Model Analysis

2020 ◽  
pp. 097674791989890
Author(s):  
Sudeshna Ghosh
Keyword(s):  
Stock Market ◽  
Consumer Confidence ◽  
Consumer Expenditure ◽  
Consumer Spending ◽  
Financial Variables ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Lag Model ◽  
Nonlinear Autoregressive

The study explores the relationship between consumer confidence, household private consumer expenditure and other related macroeconomic financial variables for Brazil, a major, upper middle, income, Latin American country. It is widely discussed in the literature that the consumer confidence is an initial guide to the future behaviour of the economy based on the consumption path. Thus, a rise in the confidence of the consumer would lead to rising household consumption behaviour, which would percolate to accelerate economic growth. The study uses the nonlinear autoregressive distributed lag model (NARDL) to measure the effects of changes in consumer sentiment on private consumer spending, taking into consideration the significance of other financial variables, namely the rate of interest, stock market index, the exchange rate, inflation and unemployment trends. The study employs monthly data from the 4th month of 1995 to the 10th month of 2018. The bounds test of the NARDL suggests the presence of a cointegrating relationship among the variables. The model estimation affirms the presence of asymmetries in the behaviour of the major explanatory variables. In the short run, there are both positive and negative asymmetric impacts of consumer confidence index (CCI) on consumer expenditure, while the rate of interest has only negative asymmetries. In the long run, unemployment changes, stock market fluctuations, interest rate variation and alterations in the CCI shape the behaviour of consumer spending at the household level in Brazil. So, the consumers are able to perceive the signalling of the future behaviour of the market and contribute through consumption spending. JEL: C22; D12; E21; O54

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