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.

mvardlurt: Multivariate ARDL Unit Root Test

CRAN status

R implementation of the multivariate autoregressive distributed lag (ARDL) unit root test proposed by Sam, McNown, Goh, and Goh (2024).

Overview

The mvardlurt package implements a unit root test that augments the standard ADF regression with lagged levels of a covariate (independent variable) to improve power, especially when cointegration exists. Bootstrap critical values ensure correct size regardless of nuisance parameters.

Installation

Install from CRAN:

install.packages("mvardlurt")

Or install the development version from GitHub:

# install.packages("devtools")

Usage

library(mvardlurt)

# Generate example data with cointegration
set.seed(123)
n <- 200
x <- cumsum(rnorm(n))  # I(1) process
y <- 0.5 * x + rnorm(n, sd = 0.5)  # Cointegrated with x

# Run the test
result <- mvardlurt(y, x, case = 3, reps = 1000)
print(result)
summary(result)

# Diagnostic plots
plot(result)

The Four-Case Framework

Based on the test results, the package determines one of four cases:

Case t-test F-test Interpretation
I Reject Reject Cointegration
II Reject Accept Degenerate case 1 (y may be I(0))
III Accept Reject Degenerate case 2 (spurious)
IV Accept Accept No cointegration

Deterministic Cases

References

Sam, C. Y., McNown, R., Goh, S. K., & Goh, K. L. (2024). A multivariate autoregressive distributed lag unit root test. Studies in Economics and Econometrics, 1-17. doi:10.1080/03796205.2024.2439101

License

GPL (>= 3)

Author

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.