ARDL (Q1350327): Difference between revisions
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| Property / last update: 16 May 2023 / rank | |||||||||||||||
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| Property / cites work: ARDL bounds test for cointegration: Replicating the Pesaran et al. (2001) results for the UK earnings equation using R / rank | |||||||||||||||
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publication date: 10 April 2020
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publication date: 10 January 2021
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publication date: 29 June 2022
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publication date: 19 November 2022
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publication date: 21 August 2023
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21 August 2023
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| Property / last update: 21 August 2023 / rank | |||||||||||||||
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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>. | |||||||||||||||
| Property / description: 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>. / rank | |||||||||||||||
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| Property / author: Kleanthis Natsiopoulos / rank | |||||||||||||||
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| Property / author: Nickolaos Tzeremes / rank | |||||||||||||||
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| Property / copyright license: GNU General Public License, version 3.0 / rank | |||||||||||||||
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software version identifier: ≥ 3.5.0 | |||||||||||||||
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| Property / cites work: Bounds testing approaches to the analysis of level relationships / rank | |||||||||||||||
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| Property / cites work: ARDL bounds test for cointegration: Replicating the Pesaran et al. (2001) results for the UK earnings equation using R / rank | |||||||||||||||
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| Property / Software Heritage ID: swh:1:snp:123eaf4d0510540d58716667fd927f92d6dcd66a / rank | |||||||||||||||
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| Property / Software Heritage ID: swh:1:snp:123eaf4d0510540d58716667fd927f92d6dcd66a / qualifier | |||||||||||||||
| Property / Software Heritage ID: swh:1:snp:123eaf4d0510540d58716667fd927f92d6dcd66a / qualifier | |||||||||||||||
point in time: 15 October 2023
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Latest revision as of 00:06, 14 March 2024
ARDL, ECM and Bounds-Test for Cointegration
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ARDL |
ARDL, ECM and Bounds-Test for Cointegration |
Statements
21 August 2023
0 references
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>.
0 references
