ardlverse
A unified framework for Autoregressive Distributed Lag (ARDL) modeling and cointegration analysis. Implements Panel ARDL with Pooled Mean Group (PMG), Mean Group (MG), and Dynamic Fixed Effects (DFE) estimators following Pesaran, Shin and Smith (1999) <doi:10.1080/01621459.1999.10474156>. Provides the bounds test of Pesaran, Shin and Smith (2001) <doi:10.1002/jae.616> with the critical values of Kripfganz and Schneider (2020) <doi:10.1111/obes.12377> and with recursive bootstrap critical values following Bertelli, Vacca and Zoia (2022) <doi:10.1016/j.econmod.2022.105987> and McNown, Sam and Goh (2018) <doi:10.1080/00036846.2017.1366643>. Includes Quantile Nonlinear ARDL (QNARDL) combining distributional and asymmetric effects based on Shin, Yu and Greenwood-Nimmo (2014) <doi:10.1007/978-1-4899-8008-3_9>, Fourier ARDL for modeling smooth structural breaks following Enders and Lee (2012) <doi:10.1016/j.econlet.2012.04.081>, and Fourier (bootstrap) nonlinear ARDL. Features include Augmented ARDL (AARDL) with deferred t and F tests, Multiple-Threshold NARDL for complex asymmetries, Rolling/Recursive ARDL for time-varying relationships, and Panel NARDL for nonlinear panel cointegration. All methods include comprehensive diagnostics, publication-ready outputs, and visualization tools.
- Bootstrap cointegration tests in ARDL models
- Bootstrapping the autoregressive distributed lag test for cointegration
- Bounds testing approaches to the analysis of level relationships
- Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
- Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
- Response Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Models1
- The flexible Fourier form and Dickey-Fuller type unit root tests
This page was built for software: ardlverse
