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fbardl: Fourier Bootstrap ARDL Cointegration Test

R implementation of the Fourier Bootstrap ARDL (FBARDL) bounds testing approach for cointegration analysis.

Overview

The fbardl package combines: - Pesaran, Shin and Smith (2001) ARDL bounds testing framework - Fourier terms to capture smooth structural breaks (Yilanci et al., 2020) - Recursive bootstrap critical values (McNown et al., 2018; Bertelli et al., 2022), with the Fourier frequency and the lags selected again in every replication (a package choice; or fixed by the user in advance)

The Kripfganz and Schneider (2020) bounds do not account for Fourier terms (in a Monte Carlo with independent random walks the 5% bounds decision rejected in 60.5% of samples), so with Fourier terms inference is by the bootstrap types and the bounds are used for decisions only in models without Fourier terms.

Installation

install.packages("fbardl")

# Development version
devtools::install_github("muhammedalkhalaf/fbardl")

Usage

library(fbardl)

# Load example data
data(fbardl_data)

# Fourier bootstrap ARDL (Bertelli, Vacca and Zoia scheme, the default);
# k* and the lags are selected again in each bootstrap replication
result <- fbardl(y ~ x1 + x2, data = fbardl_data, reps = 999, seed = 1)
summary(result)

# McNown, Sam and Goh scheme with k* and the lags fixed in advance
result_msg <- fbardl(y ~ x1 + x2, data = fbardl_data, type = "fbardl_mcnown",
                     kstar = 1, lags = list(p = 1, q = c(1, 1)), seed = 1)

# Bounds test (valid without Fourier terms only)
result_bounds <- fbardl(y ~ x1 + x2, data = fbardl_data, type = "fardl",
                        fourier = FALSE)

Test Types

Type Description
"fbardl_bvz" Bootstrap ARDL, separate nulls (Bertelli, Vacca and Zoia, 2022); default
"fbardl_mcnown" Bootstrap ARDL, null of the overall F test (McNown, Sam and Goh, 2018)
"fardl" Kripfganz and Schneider (2020) bounds; with Fourier terms the bounds are shown for reference only, without a decision

Features

Output

The function returns an object of class "fbardl" containing: - Model coefficients and standard errors - Long-run and short-run coefficient estimates - Cointegration test statistics and p-values - Diagnostic test results - Model fit statistics (R-squared, AIC, BIC)

References

Author

Muhammad Alkhalaf (muhammedalkhalaf@gmail.com)

License

GPL-3

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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