fqardl
Implementation of ARDL methods for cointegration analysis with structural breaks and asymmetric effects. Includes: (1) Fourier Quantile ARDL (FQARDL), quantile regression with Fourier approximation following the quantile ARDL of Cho, Kim and Shin (2015) <doi:10.1016/j.jeconom.2015.05.003>; (2) Fourier Nonlinear ARDL (FNARDL), asymmetric cointegration with partial sum decomposition following Shin, Yu and Greenwood-Nimmo (2014) <doi:10.1007/978-1-4899-8008-3_9>; (3) a deprecated Multi-Threshold NARDL (MTNARDL) function; (4) Fourier unit root tests, ADF and KPSS tests with Fourier terms following Enders and Lee (2012) <doi:10.1016/j.econlet.2012.04.081> and Becker, Enders and Lee (2006) <doi:10.1111/j.1467-9892.2006.00478.x>. Features automatic lag and frequency selection, Wald bounds statistics with the tables of Pesaran, Shin and Smith (2001) <doi:10.1002/jae.616> (no verdict with Fourier terms, for which the tables are not valid), recursive bootstrap bounds tests 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>, Wald tests for asymmetry, multiplier computation, and visualizations.
- A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
- 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
- Quantile cointegration in the autoregressive distributed-lag modeling framework
- The flexible Fourier form and Dickey-Fuller type unit root tests
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