bootCT

CRANbootCTMaRDI QIDQ95446FDOQ95446

Bootstrapping the ARDL Tests for Cointegration

Gianmarco Vacca

Last update: 15 January 2024

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

Software version identifier: 1.1.1, 1.0, 1.1, 2.0.0, 2.1.0

Description

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.

Cites work

• Bounds testing approaches to the analysis of level relationships
• An augmented autoregressive distributed lag bounds test for cointegration

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