ARDL bounds test for cointegration: Replicating the Pesaran et al. (2001) results for the UK earnings equation using R

Summary This paper replicates the UK earnings equation using the autoregressive distributed lag (ARDL) modeling approach and the bounds test for cointegration by Pesaran et al. ( Journal of Applied Econometrics , 2001, 16(3), 289–326). The findings from the narrow sense fully replicate the original results using the open‐source language R and the ARDL package. In the wide sense replication, augmented data are employed, thus extending the end period from 1997:Q4 to 2019:Q4, using an alternative measure for union power. Adopting the new dataset, this study reinvestigates the UK earnings equation, thereby providing supporting evidence of a long‐run relationship and reveals empirical findings about the long‐run effects of productivity, unemployment, tax wedge, and union power on wages.

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