fbardl (Q7369049)
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Fourier Bootstrap ARDL Cointegration Test
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | fbardl |
Fourier Bootstrap ARDL Cointegration Test |
Statements
Implements the Fourier Bootstrap Autoregressive Distributed Lag (FBARDL) bounds testing approach for cointegration analysis. Combines the Pesaran, Shin & Smith (2001) <doi:10.1002/jae.616> ARDL bounds testing framework with Fourier terms to capture structural breaks following Yilanci, Bozoklu & Gorus (2020) <doi:10.1016/j.scs.2020.102035>, and bootstrap critical values based on McNown, Sam & Goh (2018) <doi:10.1080/00036846.2017.1366643> and Bertelli, Vacca & Zoia (2022) <doi:10.1016/j.econmod.2022.105987>, with finite-sample bounds test critical values from Kripfganz and Schneider (2020) <doi:10.1111/obes.12377>. Features include automatic lag selection via AIC/BIC, optimal Fourier frequency selection by minimum SSR, long-run and short-run coefficient estimation, diagnostic tests, and dynamic multiplier analysis.
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30 September 2026
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