boot_ardl: Bootstrap ARDL

In bootCT: Bootstrapping the ARDL Tests for Cointegration

Bootstrap ARDL

Description

This is the main function of the package. It performs the bootstrap version of the ARDL bound test for cointegration.

Usage

boot_ardl(
  data,
  yvar = NULL,
  Xvar = NULL,
  difflags = NULL,
  maxlag = 5,
  p.ardl = 0.05,
  p.vecm = 0.05,
  B = 2000,
  case = 3,
  crit.H0 = c(0.05, 0.025, 0.01),
  print = T
)

Arguments

data	Input dataset. Must contain a dependent and a set of independent variables.
yvar	Name of the dependent variable, enclosed in quotation marks. If NULL, the first variable will be used.
Xvar	Vector of names of the independent variables, each enclosed in quotation marks. If NULL, all variables except the first will be used.
difflags	Fixed lagged differences for the short term part of the ARDL equation.
maxlag	Max number of lags for the auto_ardl procedure.
p.ardl	Threshold p-value for the short-term ARDL coefficients significance in the bootstrap procedure.
p.vecm	Threshold p-value for the short-term VECM coefficients significance in the bootstrap procedure.
B	Number of bootstrap replications.
case	Model case, pertaining to the treatment of intercept and trend. Must be integer from 1 to 5. Defaults to 3.
crit.H0	Probability/ies by which the critical quantiles of the bootstrap distribution(s) must be calculated.
print	Show the progress bar.

Value

List of several elements including

• ARDL: the conditional and unconditional ARDL models applied on the data

• pssbounds: the PSS bound test output

• smgbounds: the SMG bound test critical values

• fov.st: the test statistics on the conditional and unconditional Fov tests

• t.st: the test statistics on the conditional and unconditional t tests

• find.st: the test statistics on the conditional and unconditional Find tests

• quantFOV: the bootstrap conditional and unconditional F Overall test critical value(s)

• quantt: the bootstrap conditional and unconditional t test critical value(s)

• quantFIND: the bootstrap conditional and unconditional F Independent test critical value(s)

Examples

## Not run: 
data(ger_macro)
LNDATA = as.data.frame(log(ger_macro[,-1]))
colnames(LNDATA) = c("LNINVEST","LNINCOME","LNCONS")

boot_res = boot_ardl(LNDATA, yvar = "LNINCOME", Xvar = c("LNCONS","LNINVEST"), maxlag = 5, B = 2000)
summary(boot_res)

## End(Not run)

bootCT documentation built on Sept. 27, 2022, 5:05 p.m.