ARDL, ECM and Bounds-Test for Cointegration
Case parser
ARDL: ARDL, ECM and Bounds-Test for Cointegration
ARDL model regression
Automatic ARDL model selection
Bounds Wald-test for no cointegration
Bounds t-test for no cointegration
ARDL formula specification builder
RECM formula specification builder
UECM formula specification builder
Cointegrating equation (long-run level relationship)
Delta method
Critical value bounds stochastic simulation for Wald bounds-test for n...
F-test of regression's overall significance
Multipliers estimation
Formula parser
Order parser
Create plots for the delay multipliers
Create plot for the long-run (cointegrating) equation
Restricted ECM regression
Critical value bounds stochastic simulation for t-bounds test for no c...
Convert dynlm model (ardl, uecm, recm) to lm model
Unrestricted ECM regression
Variance-Covariance matrix of a regression
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>.