Package: ARDL 0.2.4
ARDL: ARDL, ECM and Bounds-Test for Cointegration
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>.
Authors:
ARDL_0.2.4.tar.gz
ARDL_0.2.4.zip(r-4.5)ARDL_0.2.4.zip(r-4.4)ARDL_0.2.4.zip(r-4.3)
ARDL_0.2.4.tgz(r-4.4-any)ARDL_0.2.4.tgz(r-4.3-any)
ARDL_0.2.4.tar.gz(r-4.5-noble)ARDL_0.2.4.tar.gz(r-4.4-noble)
ARDL_0.2.4.tgz(r-4.4-emscripten)ARDL_0.2.4.tgz(r-4.3-emscripten)
ARDL.pdf |ARDL.html✨
ARDL/json (API)
NEWS
| # Install 'ARDL' in R: |
| install.packages('ARDL', repos = c('https://natsiopoulos.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/natsiopoulos/ardl/issues
Last updated 1 years agofrom:0ccbf3213f. Checks:OK: 3 NOTE: 4. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 29 2024 |
| R-4.5-win | NOTE | Oct 29 2024 |
| R-4.5-linux | NOTE | Oct 29 2024 |
| R-4.4-win | NOTE | Oct 29 2024 |
| R-4.4-mac | NOTE | Oct 29 2024 |
| R-4.3-win | OK | Oct 29 2024 |
| R-4.3-mac | OK | Oct 29 2024 |
Exports:ardlauto_ardlbounds_f_testbounds_t_testcoint_eqmultipliersplot_delayplot_lrrecmto_lmuecm
Dependencies:abindaodbackportsbootbroomcarcarDataclicolorspacecowplotcpp11DerivdoBydplyrdynlmexpmfansifarverFormulagenericsggplot2gluegridExtragtableisobandlabelinglatticelifecyclelme4lmtestmagrittrMASSMatrixMatrixModelsmgcvmicrobenchmarkminqamodelrmsmmunsellmvtnormnlmenloptrnnetnumDerivpbkrtestpillarpkgconfigpurrrquantregR6RColorBrewerRcppRcppEigenrlangscalesSparseMstringistringrsurvivaltibbletidyrtidyselectutf8vctrsviridisLitewithrzoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| ARDL model regression | ardl ardl.default ardl.uecm |
| Automatic ARDL model selection | auto_ardl |
| Bounds Wald-test for no cointegration | bounds_f_test |
| Bounds t-test for no cointegration | bounds_t_test |
| Cointegrating equation (long-run level relationship) | coint_eq coint_eq.default coint_eq.recm |
| The Danish data on money income prices and interest rates | denmark |
| Multipliers estimation | multipliers multipliers.ardl multipliers.uecm |
| The UK earnings equation data from Natsiopoulos and Tzeremes (2022) | NT2022 |
| Create plots for the delay multipliers | plot_delay |
| Create plot for the long-run (cointegrating) equation | plot_lr |
| The UK earnings equation data from Pesaran et al. (2001) | PSS2001 |
| Restricted ECM regression | recm |
| Convert dynlm model (ardl, uecm, recm) to lm model | to_lm |
| Unrestricted ECM regression | uecm uecm.ardl uecm.default |
