Bootstrapping the ARDL Tests for Cointegration
Convert ARDL to lm
Bootstrap ARDL
Code to generate data having a VECM-ARDL structure
Create matrix of lagged variables
Generate data from a VECM/ARDL equation
Removes the variables imposed under the null from an ARDL formula obje...
Removes the unlagged differences imposed under the conditional ARDL mo...
Summary method
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.