bootCT (Q95446)
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Bootstrapping the ARDL Tests for Cointegration
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | bootCT |
Bootstrapping the ARDL Tests for Cointegration |
Statements
15 January 2024
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The bootstrap ARDL tests for cointegration is the main functionality of this package. It also acts as a wrapper of the most commond ARDL testing procedures for cointegration: the bound tests of Pesaran, Shin and Smith (PSS; 2001 - <doi:10.1002/jae.616>) and the asymptotic test on the independent variables of Sam, McNown and Goh (SMG: 2019 - <doi:10.1016/j.econmod.2018.11.001>). Bootstrap and bound tests are performed under both the conditional and unconditional ARDL models.
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expanded from: GPL (≥ 2) (English)
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