The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.

fqardl 1.0.0

Initial CRAN Release (2026-02-25)

New Features

FQARDL (Fourier Quantile ARDL)

• fqardl() - Main function for Fourier Quantile ARDL estimation
• Automatic selection of optimal Fourier frequency (k*)
• Automatic lag selection using BIC, AIC, or HQ criteria
• Estimation across multiple quantiles (τ)
• Long-run and short-run multiplier computation
• PSS bounds test for cointegration
• Bootstrap cointegration testing
• Publication-ready plots

FNARDL (Fourier Nonlinear ARDL)

• fnardl() - Main function for asymmetric ARDL with Fourier terms
• Variable decomposition into positive/negative partial sums
• Wald tests for long-run and short-run asymmetry
• Dynamic multiplier computation (positive vs negative shocks)
• Cumulative multiplier visualization
• Asymmetry comparison plots

Helper Functions

• fourier_adf() - Fourier ADF unit root test
• generate_fourier_terms() - Generate Fourier trigonometric terms
• decompose_variables() - Decompose variables for NARDL
• perform_bounds_test() - PSS bounds testing
• bootstrap_bounds_test() - Bootstrap cointegration test

Visualization

• Coefficient plots across quantiles
• Dynamic multiplier plots
• Cumulative multiplier plots
• Persistence profile plots
• 3D coefficient surfaces
• Heatmaps
• Asymmetry comparison plots

References

• Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.

• Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In Festschrift in Honor of Peter Schmidt (pp. 281-314). Springer.

• Enders, W., & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574-599.

• Cho, J. S., Kim, T., & Shin, Y. (2015). Quantile cointegration in the autoregressive distributed-lag modeling framework. Journal of Econometrics, 188(1), 281-300.

Acknowledgments

• Dr. Merwan Roudane for the original Stata implementation
• Rufyq Elngeh (رفيق النجاح) for supporting this development

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.
Health stats visible at Monitor.