Dynamic Simulation and Testing for Single-Equation ARDL Models
Take first difference of a series
Deprecated functions in package dynamac
Combine all of the potential plots of a simulated response in a `dynar...
Run a variety of autocorrelation tests on the residuals from a `dynard...
Estimate and simulate ARDL model
Create a plot of a simulated response in a dynardl model
Take the lagged first difference of a series
Take lag transformation of a series
Perform Pesaran, Shin, and Smith (2001) cointegration test
Enable summary calls to dynardl model objects
While autoregressive distributed lag (ARDL) models allow for extremely flexible dynamics, interpreting substantive significance of complex lag structures remains difficult. This package is designed to assist users in dynamically simulating and plotting the results of various ARDL models. It also contains post-estimation diagnostics, including a test for cointegration when estimating the error-correction variant of the autoregressive distributed lag model (Pesaran, Shin, and Smith 2001 <doi:10.1002/jae.616>).