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ARDL

ARDL, ECM and Bounds-Test for Cointegration

Creates complex autoregressive distributed lag (ARDL) models providing just the order and automatically constructs the underlying unrestricted and restricted error correction model (ECM). It also performs the bounds-test for cointegration as described in Pesaran et al. (2001) <doi:10.1002/jae.616> and provides the multipliers and the cointegrating equation.

Functions (21)

ARDL-package

ARDL: ARDL, ECM and Bounds-Test for Cointegration

ardl

ARDL model regression

Automatic ARDL model selection

bounds_f_test

Bounds Wald-test for no cointegration

bounds_t_test

Bounds t-test for no cointegration

build_ardl_formula

ARDL formula specification builder

build_recm_formula

RECM formula specification builder

build_uecm_formula

UECM formula specification builder

Cointegrating equation (long-run level relationship)

delta_method

Delta method

The Danish data on money income prices and interest rates

f_bounds_sim

Critical value bounds stochastic simulation for Wald bounds-test for no cointegration

f_test_custom

F-test of regression's overall significance

multipliers

Multipliers estimation

Case parser

parse_formula

Formula parser

parse_order

Order parser

recm

Restricted ECM regression

t_bounds_sim

Critical value bounds stochastic simulation for t-bounds test for no cointegration

uecm

Unrestricted ECM regression

vcov_custom

Variance-Covariance matrix of a regression

ARDL

ARDL, ECM and Bounds-Test for Cointegration

v0.1.1

GPL-3

Authors

Kleanthis Natsiopoulos [aut, cre] (<https://orcid.org/0000-0003-1180-2984>), Nickolaos Tzeremes [aut] (<https://orcid.org/0000-0002-6938-3404>)

Initial release

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