ardl.nardl

CRANardl.nardlMaRDI QIDQ82653FDOQ82653

Linear and Nonlinear Autoregressive Distributed Lag Models: General-to-Specific Approach

Eric I. Otoakhia

Last update: 30 January 2024

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.2.3, 1.0.1, 1.0.2, 1.1.0, 1.2.0, 1.2.1, 1.2.2, 1.3.0

Description

Estimate the linear and nonlinear autoregressive distributed lag (ARDL & NARDL) models and the corresponding error correction models, and test for longrun and short-run asymmetric. The general-to-specific approach is also available in estimating the ARDL and NARDL models. The Pesaran, Shin & Smith (2001) (<doi:10.1002/jae.616>) bounds test for level relationships is also provided. The 'ardl.nardl' package also performs short-run and longrun symmetric restrictions available at Shin et al. (2014) <doi:10.1007/978-1-4899-8008-3_9> and their corresponding tests.

Cites work

• Bounds testing approaches to the analysis of level relationships
• Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework

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