fqardl
Comprehensive implementation of advanced ARDL methodologies for cointegration analysis with structural breaks and asymmetric effects. Includes: (1) Fourier Quantile ARDL (FQARDL) - quantile regression with Fourier approximation for analyzing relationships across the conditional distribution; (2) Fourier Nonlinear ARDL (FNARDL) - asymmetric cointegration with partial sum decomposition following Shin, Yu & Greenwood-Nimmo (2014) <doi:10.1007/978-1-4899-8008-3_9>; (3) Multi-Threshold NARDL (MTNARDL) - multiple regime asymmetry analysis; (4) Fourier Unit Root Tests - ADF and KPSS tests with Fourier terms following Enders & Lee (2012) <doi:10.1016/j.econlet.2012.04.081> and Becker, Enders & Lee (2006) <doi:10.1111/j.1467-9892.2006.00478.x>. Features automatic lag and frequency selection, PSS bounds testing following Pesaran, Shin & Smith (2001) <doi:10.1002/jae.616>, bootstrap cointegration tests, Wald tests for asymmetry, dynamic multiplier computation, and publication-ready visualizations.
- A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
- Bounds testing approaches to the analysis of level relationships
- Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
- The flexible Fourier form and Dickey-Fuller type unit root tests
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