NEWS.md

In ARDL: ARDL, ECM and Bounds-Test for Cointegration

ARDL 0.2.4

New features

• Added new parameters to the to_lm() function. These are fix_names which removes special functions such as d() and L() from the variable names, and data_class which converts the data class to ts.

Documentation update

• Added example of how to apply post-estimation tests, combining other packages.

ARDL 0.2.3

New features

• Add new function to_lm() which converts ardl, uecm, and recm models, as well as dynlm models in lm models. Among other things, this helps using the model with other functions (e.g. with predict() to forecast) (issue #5, @melville1808).

• multipliers() now has a new argument (se) which allows the estimation of standard errors for the delay multipliers, using the delta method. (issue #17, @sammy-w)

• Add new function plot_delay() which creates plots (ggplot) for the delay multipliers and their uncertainty intervals (standard errors or confidence intervals).

• Add new function plot_lr() which creates a plot (ggplot) for the long-run relationship in comparison with the dependent variable, and the fitted values of the model.

ARDL 0.2.2

New features

• The estimation of the interim multipliers was corrected. Delay multipliers are introduced along with the interim and they are now returned as a list with a data.frame for each variable containing the delay and interim multipliers for each period. Also, the maximum period for delay and interim multipliers was raised to 200.

• ardl() is now a generic function. The default method constructs an ardl model as it used to. The other method takes an uecm model and converts it into an ardl.

• recm() can now estimate models which include 0 lags in the order of a variable.

Documentation update

• Updated the formulas for the uecm and recm equations making them more precise.

New data

• Added a new dataset, the UK earnings equation data from Natsiopoulos and Tzeremes (2022). These are the data used to extend the study of Pesaran et al. (2001).

Bug fix

• multipliers() does not divide the short-run multipliers by the adjustment factor anymore (correction).

Minor changes

• Added corresponding variable names to ARDL orders.

ARDL 0.2.1

New features

• The bounds_f_test and bounds_t_test functions now have a new returned value PSS2001parameters, if alpha is one of the 0.1, 0.05, 0.025 or 0.01, exact = FALSE and k <= 10. These are the critical value bounds presented in Pesaran et al. (2001) but are less precise. Previously, only these were reported in parameters. e.g. In the following marginal case, according to the critical values of Pesaran et al. (2001), H0 is rejected but according to the p-value is not.

m1 <- uecm(w ~ Prod + UR + Wedge + Union | D7475 + D7579, order = c(5, 1, 5, 5, 5), data = PSS2001, start = c(1972, 01)) btt <- bounds_t_test(m1, case = 3, alpha = 0.05)} btt$tab btt$PSS2001parameters

Documentation update

• Added BugReports in the DESCRIPTION.

• Updated the references in README and CITATION.

• Added codecov and badges.

Bug fix

• multipliers() was giving an error when trying to estimate short-run and interim multipliers using a model without a constant term.

Automated tests

• Added automated tests.

New data

• Added the data used in Pesaran et al. (2001)

Minor changes

• Added dependency on R >= 3.5.0 because serialized objects in serialize/load version 3 cannot be read in older versions of R. File(s) containing such objects: ‘ARDL/data/PSS2001.rda’

ARDL 0.2.0

Documentation update

• Add DOI and references of the publication where the package is used and successfully replicates the results of the methodology it implements, in the DESCRIPTION and README.Rmd files.

• Properly changed the citation info in the CITATION and ardl-package.Rfiles.

ARDL 0.1.1

New features

• The multipliers() function now supports the calculation of short-run and interim multipliers.

Documentation improvements

• Corrected the example about the search_type argument in the help file of auto_ardl().

• Minor correction in the help file of auto_ardl().

• Corrected the mathematical formula of the Long-Run multipliers in the help file of multipliers().

• Corrected the mathematical formula of the bounds F-test in the help file of bounds_f_test().

• Added the mathematical formulas of the short-run and interim multipliers in the help file of multipliers().

• Properly changed the citation info in the CITATION, ardl-package.R and DESCRIPTION files.

• Changed the designer's contact info in the logo.

• Added a small example about short-run multipliers in the README.md file.

• Corrected the release date of version 0.1.0 in the NEWS.md file.

ARDL 0.1.0 (10 Apr 2020)

Released to CRAN

ARDL documentation built on Aug. 21, 2023, 9:10 a.m.