ARDL

swMATH43821CRANARDLMaRDI QIDQ1350327FDOQ1350327

ARDL, ECM and Bounds-Test for Cointegration

Kleanthis Natsiopoulos, Nickolaos Tzeremes

Last update: 21 August 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.2.2, 0.2.3, 0.1.0, 0.1.1, 0.2.0, 0.2.1, 0.2.4

Source code repository: https://github.com/cran/ARDL

Description

Creates complex autoregressive distributed lag (ARDL) models and constructs the underlying unrestricted and restricted error correction model (ECM) automatically, just by providing the order. It also performs the bounds-test for cointegration as described in Pesaran et al. (2001) <doi:10.1002/jae.616> and provides the multipliers and the cointegrating equation. The validity and the accuracy of this package have been verified by successfully replicating the results of Pesaran et al. (2001) in Natsiopoulos and Tzeremes (2022) <doi:10.1002/jae.2919>.

Cites work

• Bounds testing approaches to the analysis of level relationships
• ARDL bounds test for cointegration: Replicating the Pesaran et al. (2001) results for the UK earnings equation using R

Cited In (1)

• bootCT

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