mvardlurt (Q7368912)
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Multivariate ARDL Unit Root Test
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | mvardlurt |
Multivariate ARDL Unit Root Test |
Statements
Implements the multivariate autoregressive distributed lag (ARDL) unit root test of Sam, McNown, Goh and Goh (2025) <doi:10.1080/03796205.2024.2439101>. The test augments the ADF regression with the lagged level, the current difference and lagged differences of one or more covariates so that cointegration between the series under test and the covariates is taken into account. The t statistic on the lagged level of the series and the joint F statistic on the lagged levels of the covariates are bootstrapped with the respective null imposed (residual bootstrap), giving critical values and p-values. Provides automatic lag selection via AIC or BIC, diagnostic plots, and the four-case classification of the order of integration of the series.
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1 October 2026
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