predict() function for calculating predictions from an ardl
model, which dispatches to predict.ardl() for models of class ardl.
(issue #5)
(issue #24)multipliers() was messing the order of the short-run multipliers when the
input was a uecm model and at least one of the orders was 0.
(issue #23).
plot_lr() was plotting the first variable in the dataset instead of the
dependent variable.
Created internal function BIC_pss, similar to AIC_pss.
Changed the order of the class for ardl, uecm and recm models. i.e. from
"dynlm" "lm" "ardl" to "ardl" "dynlm" "lm". This allows the new function
predict to properly dispatch to predict.ardl().
Although in the documentation for bounds_f_test() and bounds_t_test() it
was mentioned that the argument vcov_matrix is only applicable for uecm input
objects, there was no mechanism to prevent this.
to_lm() function. These are fix_names which
removes special functions such as d() and L() from the variable names, and
data_class which converts the data class to ts.Add new function to_lm() which converts ardl, uecm, and recm models,
as well as dynlm models in lm models. Among other things, this helps using
the model with other functions (e.g. with predict() to forecast)
(issue #5, @melville1808).
multipliers() now has a new argument (se) which allows the estimation of
standard errors for the delay multipliers, using the delta method.
(issue #17, @sammy-w)
Add new function plot_delay() which creates plots (ggplot) for the delay
multipliers and their uncertainty intervals (standard errors or confidence
intervals).
Add new function plot_lr() which creates a plot (ggplot) for the long-run
relationship in comparison with the dependent variable, and the fitted values of
the model.
The estimation of the interim multipliers was corrected. Delay multipliers are introduced along with the interim and they are now returned as a list with a data.frame for each variable containing the delay and interim multipliers for each period. Also, the maximum period for delay and interim multipliers was raised to 200.
ardl() is now a generic function. The default method constructs an ardl
model as it used to. The other method takes an uecm model and converts it into
an ardl.
recm() can now estimate models which include 0 lags in the order of a
variable.
multipliers() does not divide the short-run multipliers by the adjustment
factor anymore (correction).bounds_f_test and bounds_t_test functions now have a new returned
value PSS2001parameters, if alpha is one of the 0.1, 0.05, 0.025 or 0.01,
exact = FALSE and k <= 10. These are the critical value bounds presented in
Pesaran et al. (2001) but are less precise. Previously, only these were reported
in parameters.m1 <- uecm(w ~ Prod + UR + Wedge + Union | D7475 + D7579, order = c(5, 1, 5, 5, 5), data = PSS2001, start = c(1972, 01))
btt <- bounds_t_test(m1, case = 3, alpha = 0.05)}
btt$tab
btt$PSS2001parameters
Added BugReports in the DESCRIPTION.
Updated the references in README and CITATION.
Added codecov and badges.
multipliers() was giving an error when trying to estimate short-run and
interim multipliers using a model without a constant term.Add DOI and references of the publication where the package is used and
successfully replicates the results of the methodology it implements, in the
DESCRIPTION and README.Rmd files.
Properly changed the citation info in the CITATION and ardl-package.Rfiles.
multipliers() function now supports the calculation of short-run and
interim multipliers.Corrected the example about the search_type argument in the help file of
auto_ardl().
Minor correction in the help file of auto_ardl().
Corrected the mathematical formula of the Long-Run multipliers in the help
file of multipliers().
Corrected the mathematical formula of the bounds F-test in the help file of
bounds_f_test().
Added the mathematical formulas of the short-run and interim multipliers in
the help file of multipliers().
Properly changed the citation info in the CITATION, ardl-package.R and
DESCRIPTION files.
Changed the designer's contact info in the logo.
Added a small example about short-run multipliers in the README.md file.
Corrected the release date of version 0.1.0 in the NEWS.md file.