ardl.nardl (Q82653)
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Linear and Nonlinear Autoregressive Distributed Lag Models: General-to-Specific Approach
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ardl.nardl |
Linear and Nonlinear Autoregressive Distributed Lag Models: General-to-Specific Approach |
Statements
30 January 2024
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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.
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expanded from: GPL (≥ 2) (English)
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