CRAN/E | ARDL

ARDL

ARDL, ECM and Bounds-Test for Cointegration

Installation

About

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.

Citation ARDL citation info
github.com/Natsiopoulos/ARDL
Bug report File report

Key Metrics

Version 0.2.4
R ≥ 3.5.0
Published 2023-08-21 221 days ago
Needs compilation? no
License GPL-3
CRAN checks ARDL results

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Maintainer

Maintainer

Kleanthis Natsiopoulos

klnatsio@gmail.com

Authors

Kleanthis Natsiopoulos

aut / cre

Nickolaos Tzeremes

aut

Material

README
NEWS
Reference manual
Package source

In Views

TimeSeries

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

ARDL archive

Depends

R ≥ 3.5.0

Imports

aod
dplyr
dynlm
gridExtra
ggplot2
lmtest
msm
stringr
zoo

Suggests

strucchange
tseries
qpcR
sandwich
testthat ≥ 3.0.0

Reverse Imports

bootCT