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

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

ARDL: ARDL, ECM and Bounds-Test for Cointegration

Description

Creates complex autoregressive distributed lag (ARDL) models and constructs the underlying unrestricted and restricted error correction model (ECM) automatically, just by providing the order. It also performs the bounds-test for cointegration as described in Pesaran et al. (2001) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1002/jae.616")} and provides the multipliers and the cointegrating equation. The validity and the accuracy of this package have been verified by successfully replicating the results of Pesaran et al. (2001) in Natsiopoulos and Tzeremes (2022) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1002/jae.2919")}.

Author(s)

Maintainer: Kleanthis Natsiopoulos [e-mail] (ORCID)

Authors:

• Nickolaos Tzeremes [e-mail] (ORCID)

See Also

Useful links:

• https://github.com/Natsiopoulos/ARDL

• Report bugs at https://github.com/Natsiopoulos/ARDL/issues

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