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Home > Ardl Model As a Remedy for Spurious Regression: Problems, Performance and Prospects

Ardl Model As a Remedy for Spurious Regression: Problems, Performance and Prospects

Thesis Info

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Author

Ghouse, Ghulam

Program

PhD

Institute

Pakistan Institute of Development Economics

City

Islamabad

Province

Islamabad

Country

Pakistan

Thesis Completing Year

2019

Thesis Completion Status

Completed

Subject

Econometrics

Language

English

Link

http://prr.hec.gov.pk/jspui/bitstream/123456789/11879/1/Ghulam%20Ghouse%20Econometrics%202019%20pide%20isb%20prr.pdf

Added

2021-02-17 19:49:13

Modified

2024-03-24 20:25:49

ARI ID

1676724516114

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The most important feature that directed to the development of new time series econometrics was the spurious regression. It is a phenomenon known to econometricians since the times of Yule (1926) who attributed this problem to missing variable. A spurious regression occurs when two independent series come up with significant regression results. For a long time, missing variables were considered as root cause of spurious regression. However, Granger and Newbold (1974) challenged this wisdom and presented unit root as one of the causes of spurious regression. The extensive literature considers the nonstationarity as the only cause of spurious regression. The researchers frequently employed unit root and co-integration procedures for the treatment of spurious regression in case of nonstationarity but these procedures are equally unreliable because of uncertainty about various specification decisions like choice of the deterministic part, structural breaks, choice of autoregressive, lag length and distribution of error term. On the other hand Granger et al. (2001) show that unit root is not the only reason for spurious regression. They show the possibility of spurious regression in stationary time series. Whereas unit root and cointegration are unable to deal with this problem because they deal only nonstationary series. Such amount of conventional econometric literature is inadequate to deal with the problem of spurious regression in stationary time series. The objective of this study is to provide an alternative solution of spurious regression for both stationary and nonstationary time series. So, this study makes two contributions in this particular setup. First, spurious regression occurs due to missing variable and can be avoided by including missing lag values. Therefore, an alternative way to look at the problem of spurious regression takes us back to the missing variable (lag values) which further leads to ARDL model. Second, it significantly reduces the probability of spurious regression in both stationary and nonstationary time series case. This study mainly focusing on Monte Carlo simulations and real data is also used for performance comparison of ARDL model and conventional procedures. Our results indicate that conventional methods are significantly suffering in size and there is power problems but the performance of ARDL in both cases is far better than conventional methods. ARDL model significantly reduced the probability of spurious regression in stationary and nonstationary time series case.
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اشاریہ سازی کی اولین کاوش

یونیورسٹی آف سیالکوٹ کے شعبہ اردو کو یہ اعزاز حاصل ہے کہ اس میں ایم ایس سطح کے تحقیقی مقالات کے لیے جدید اور متنوع موضوعات پر کام کروایا جا رہا ہے۔ روزینہ یاسمین  نے تحقیقی جرائد " تحصیل " اور "مآخذ"کی اشاریہ سازی کا کام جس محنت اور شوق سے کیا اس کے لیے یہ مبارکباد کی حق دار ہیں۔ طالبہ کی اس اولین کاوش کو تمام اساتذہ کرام نے بھی خوب  سراہا ۔یہ ہماری خوش نصیبی کہ ہمیں اردو ادب کے نامور محقق،نقاد، مصنف ، استاد اور تحقیقی جریدہ "تحصیل" کے مدیرپروفیسرڈاکٹر معین الدین عقیل صاحب کی معاونت اور قیمتی مشورے میسر آئے۔ایسی عظیم شخصیات اردو ادب کا سرمایہ افتخار ہیں ۔ ڈاکٹر صاحب نوجوان محققین کی نہ صرف حوصلہ افزائی کرتے ہیں بلکہ ان کی ہر ممکن کوشش بھی کرتے ہیں۔

تحقیق میں نئے موضوعات پر کام کروانا وقت کی ضرورت ہے۔ جن جامعات نے اشاریہ سازی پر تحقیقی کام کروایا ان میں پنجاب یونیورسٹی(لاہور)، بہاء الدین زکریا یونیورسٹی(ملتان)، جامعہ کراچی (کراچی)، جامعہ پشاور (پشاور)، اسلامیہ یونیورسٹی(بہاول پور)، انٹرنیشنل اسلامک یونیورسٹی (اسلام آباد) ، نمل یونیورسٹی(اسلام آباد)اورعلامہ اقبال اوپن یونیورسٹی (اسلام آباد) وغیرہ کی کاوشیں قابل تحسین  ہیں ۔

اردو تحقیق کو جدید تناظر میں دیکھیں تو اشاریہ سازی کواساسی حیثیت دی جاتی ہے کیونکہ محققین کے لیے سب سے بڑا مسئلہ کم وقت میں مطلوبہ مواد تک رسائی کا ہوتاہے اور اشاریوں کی مدد سے آپ کم وقت اور کم محنت سے آسانی...

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The world of today has emerged as a global village with diversity of culture, faith, religion, ideology and belief. The difference of point of view and intolerance are still left to be taken into account by the intellectuals of the world seriously with other multiple universal problems. In the present scenario, there is a need to rationalize the human existence on the face of Earth in terms of the sole objectives of human life. This study is an attempt to present a world view to the humanity through a philosophical and theological approach. Multiple questions have been raised and then answered with reference to Islamic religious philosophy of human life. It is an attempt to strengthen harmony among the world citizens.

Generalization of Mixed Means and Related Results

Inequalities lie at the heart of a great deal of mathematics. G. H. Hardy reported Harald Bohr as saying ‘all analysts spend half their time hunting through the literature for inequalities which they want to use but cannot prove’. Inequalities involving means open many doors for analysts e.g generalization of mixed means fallouts the refinements to the important inequalities of Holder and Minkowski. The well known Jensen’s inequality asserts a remarkable relation among the mean and the mean of function values and any improvement or refinements of Jensen’s inequality is a source to enrichment of monotone property of mixed means. our aim is to utilize all known refinements of Jensen’s inequality to give the re- finements of inequality among the power means by newly defined mixed symmetric means. In this context, our results not only ensures the generalization of classical but also speak about the most recent notions (e.g n-exponential convexity) of this era. In first chapter we start with few basic notions about means and convex functions. Then the classical Jensen’s inequality and the historical results about refinements of Jensen’s inequality are given from the literature together with their applications to the mixed symmetric means. In second chapter we consider recent refinements of Jensen’s inequality to refine inequality between power means by mixed symmetric means with positive weights under more comprehensive settings of index set. A new refinement of the classical Jensen’s inequality is also established. The Popovicui type inequality is generalized using green function. Using these refinements we define various versions of linear functionals that are positive on convex functions. This step ultimately leads us to viiviii the important and recently revitalized area of exponential convexity. Mean value theorems are proved for these functionals. Some non-trivial examples of exponential convexity and some classes of Cauchy means are given. These examples are further used to show monotonicity in defining parameters of constructed Cauchy means. In third chapter we develop the refinements of discrete Jensen’s inequality for con- vex functions of several variables which causes the generalizations of Beck’s results. The consequences of Beck’s results are given in more general settings. We also gen- eralize the inequalities of H ̈older and Minkowski by using the Quasiarithmetic mean function. In forth chapter we investigate the class of self-adjoint operators defined on a Hilbert space, whose spectra are contained in an interval. We extend several re- finements of the discrete Jensen’s inequality for convex functions to operator convex functions. The mixed symmetric operator means are defined for a subclass of positive self-adjoint operators to give the refinements of inequality between power means of strictly positive operators. In last chapter, some new refinements are given for Jensen’s type inequalities in- volving the determinants of positive definite matrices. Bellman-Bergstrom-Fan func- tionals are considered. These functionals are not only concave, but superlinear which is a stronger condition. The results take advantage of this property.