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ARDL: ARDL, ECM and Bounds-Test for Cointegration
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>.
| Version: |
0.2.4 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
aod, dplyr, dynlm, gridExtra, ggplot2, lmtest, msm, stringr, zoo |
| Suggests: |
strucchange, tseries, qpcR, sandwich, testthat (≥ 3.0.0) |
| Published: |
2023-08-21 |
| Author: |
Kleanthis Natsiopoulos
 [aut, cre],
Nickolaos Tzeremes
[aut] |
| Maintainer: |
Kleanthis Natsiopoulos <klnatsio at gmail.com> |
| BugReports: |
https://github.com/Natsiopoulos/ARDL/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/Natsiopoulos/ARDL |
| NeedsCompilation: |
no |
| Citation: |
ARDL citation info |
| Materials: |
README NEWS |
| In views: |
TimeSeries |
| CRAN checks: |
ARDL results |
Documentation:
Downloads:
Reverse dependencies:
Linking:
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https://CRAN.R-project.org/package=ARDL
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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