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ARDL - MaRDI portal

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ARDL (Q1350327)

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ARDL, ECM and Bounds-Test for Cointegration
Language Label Description Also known as
English
ARDL
ARDL, ECM and Bounds-Test for Cointegration

    Statements

    instance of
    R package
    0 references
    software version identifier
    0.2.2
    publication date
    9 February 2023
    0 references
    0.2.3
    publication date
    16 May 2023
    0 references
    0.1.0
    publication date
    10 April 2020
    0 references
    0.1.1
    publication date
    10 January 2021
    0 references
    0.2.0
    publication date
    29 June 2022
    0 references
    0.2.1
    publication date
    19 November 2022
    0 references
    0.2.4
    publication date
    21 August 2023
    0 references
    programmed in
    R
    0 references
    last update
    21 August 2023
    0 references
    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) <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) <doi:10.1002/jae.2919>.
    0 references
    imports
    aod
    0 references
    dplyr
    0 references
    dynlm
    0 references
    gridExtra
    0 references
    ggplot2
    0 references
    lmtest
    0 references
    msm
    0 references
    stringr
    0 references
    zoo
    0 references

    Identifiers

    swMATH work ID
    43821
    0 references
    CRAN project
    ARDL
    0 references
     
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