Estimate the linear and nonlinear autoregressive distributed lag (ARDL & NARDL) models and the corresponding error correction models, and test for longrun and short-run asymmetric. The general-to-specific approach is also available in estimating the ARDL and NARDL models. The Pesaran, Shin & Smith (2001) (<doi:10.1002/jae.616>) bounds test for level relationships is also provided. The 'ardl.nardl' package also performs short-run and longrun symmetric restrictions available at Shin et al. (2014) <doi:10.1007/978-1-4899-8008-3_9> and their corresponding tests.
Package details |
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Author | Eric I. Otoakhia [aut, cre] |
Maintainer | Eric I. Otoakhia <otoakhiai@gmail.com> |
License | GPL (>= 2) |
Version | 1.3.0 |
Package repository | View on CRAN |
Installation |
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