ardl-package: ardl-package
In fcbarbi/ardl: Auto Regressive Distributed Lag time series model
Description
Auto Regressive Distributed Lag (ARDL) for time series is a package to estimate dynamic models with lagged regressors and lagged dependent variable.
Details
A single equation (univariate) model is estimated with the ARDL framework presented by Pesaran1999 and Pesaran2001.
This version also supports automatic identification of the best model according to different selection criteria (BIC; AIC, R2 and LL).
It also provides tools to visualize the cointegration (long-term) relation and to test it using the bounds test procedure.
ardl is the core function that relies on package dynlm to estimate the dynamic models.
auto.ardl uses ardl to find the best specification.
coint presents the two sets of coefficients: long-run (LR) and short-run (SR).
bounds.test tests the existence of a long-run relationship with I(0) or I(1) regressors.
Note that print and summary work as for any linear model.
fcbarbi/ardl documentation built on May 16, 2019, 12:05 p.m.
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Description
Auto Regressive Distributed Lag (ARDL) for time series is a package to estimate dynamic models with lagged regressors and lagged dependent variable.
Details
A single equation (univariate) model is estimated with the ARDL framework presented by Pesaran1999 and Pesaran2001. This version also supports automatic identification of the best model according to different selection criteria (BIC; AIC, R2 and LL). It also provides tools to visualize the cointegration (long-term) relation and to test it using the bounds test procedure.
ardl is the core function that relies on package dynlm to estimate the dynamic models.
auto.ardl uses ardl to find the best specification.
coint presents the two sets of coefficients: long-run (LR) and short-run (SR).
bounds.test tests the existence of a long-run relationship with I(0) or I(1) regressors.
Note that print and summary work as for any linear model.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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