ARDL
swMATH43821CRANARDLMaRDI QIDQ1350327
ARDL, ECM and Bounds-Test for Cointegration
Kleanthis Natsiopoulos, Nickolaos Tzeremes
Last update: 21 August 2023
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
Copyright license: GNU General Public License, version 3.0
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>.