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  • Trade-GDP Nexus in Iran: An Application of the Autoregressive Distributed Lag (ARDL) Model

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    Author
    Pahlavani, Mosayeb
    Wilson, Ed
    C. Worthington, Andrew
    Year published
    2005
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    Abstract
    This study employed annual time series data (1960-2003) and unit root tests with multiple breaks to determine the most likely times of structural breaks in major factors impacting on the trade-GDP nexus in Iran We found, inter alia, that the endogenously determined structural breaks coincided with important events in the Iranian economy, including the 1979 Islamic revolution and the outbreak of the Iraq-Iran war in 1980. By applying the Lumsdaine and Papell (1997) approach, the stationarity of the variable under investigation was examined and in the presence of structural breaks, we found that the null hypothesis of unit ...
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    This study employed annual time series data (1960-2003) and unit root tests with multiple breaks to determine the most likely times of structural breaks in major factors impacting on the trade-GDP nexus in Iran We found, inter alia, that the endogenously determined structural breaks coincided with important events in the Iranian economy, including the 1979 Islamic revolution and the outbreak of the Iraq-Iran war in 1980. By applying the Lumsdaine and Papell (1997) approach, the stationarity of the variable under investigation was examined and in the presence of structural breaks, we found that the null hypothesis of unit root could be rejected for all of the variables under analysis except one. Under such circumstances, applying the ARDL procedure was the best way of determining long run relationships. For this reason, the error correction version of the autoregressive distributed lag procedure (ARDL) was then employed to specify the short and long-term determinants of economic growth in the presence of structural breaks. The results showed that while the effects of gross capital formation and oil exports were important for the expansion of the Iranian GDP over the sample period, non-oil exports and human capital were generally less pivotal. It was also found that the speed of adjustment in the estimated models is relatively high and had the expected significant and negative sign.
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    Journal Title
    American Journal of Applied Sciences
    Volume
    2
    Issue
    7
    DOI
    https://doi.org/10.3844/ajassp.2005.1158.1165
    Copyright Statement
    © The Author(s) 2005. The attached file is reproduced here in accordance with the copyright policy of the publisher. For information about this journal please refer to the journal’s website or contact the author[s].
    Publication URI
    http://hdl.handle.net/10072/21883
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    • Journal articles

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