nardl: Nonlinear ARDL function

In nardl: Nonlinear Cointegrating Autoregressive Distributed Lag Model

Description

Nonlinear ARDL function

Usage

nardl(formula, data, ic = c("aic", "bic"), maxlag = 4, graph = FALSE, case = 3)

Arguments

formula	food~inf or food~inf|I(inf^2)
data	the dataframe
ic	: c("aic","bic") criteria model selection
maxlag	maximum lag number
graph	TRUE to show stability tests plot
case	case number 3 for (unrestricted intercert, no trend) and 5 (unrestricted intercept, unrestricted trend), 1 2 and 4 not supported

Examples

############################################
# Fit the nonlinear cointegrating autoregressive distributed lag model
############################################
# Load data
data(fod)
############################################
# example 1:auto selected lags (maxlags=TRUE)
############################################
reg<-nardl(food~inf,fod,ic="aic",maxlag = 4,graph = FALSE,case=3)
summary(reg)

############################################
# example 2: Cusum and CusumQ plot (graph=TRUE)
############################################
reg<-nardl(food~inf,fod,ic="aic",maxlag = 4,graph = TRUE,case=3)

nardl documentation built on Jan. 7, 2021, 1:06 a.m.