ardl.nardl: Linear and Nonlinear Autoregressive Distributed Lag Models: General-to-Specific Approach

Estimate the linear and nonlinear autoregressive distributed lag (ARDL & NARDL) models and the corresponding error correction models, and test for longrun and short-run asymmetric. The general-to-specific approach is also available in estimating the ARDL and NARDL models. The Pesaran, Shin & Smith (2001) (<doi:10.1002/jae.616>) bounds test for level relationships is also provided. The 'ardl.nardl' package also performs short-run and longrun symmetric restrictions available at Shin et al. (2014) <doi:10.1007/978-1-4899-8008-3_9> and their corresponding tests.

Version: 1.2.0
Depends: R (≥ 3.5.0)
Imports: graphics (≥ 4.2.1), gets (≥ 0.37), dplyr (≥ 1.0.10), rlist (≥ 0.4.6.2), nardl (≥ 0.1.6), stats (≥ 4.2.1), car (≥ 3.1-1), lmtest (≥ 0.9-38), texreg (≥ 1.38.6), stringr (≥ 1.4.0), tseries (≥ 0.10-51), sandwich (≥ 2.5-1)
Suggests: dynamac (≥ 0.1.11)
Published: 2022-11-28
Author: Eric I. Otoakhia [aut, cre]
Maintainer: Eric I. Otoakhia <otoakhiai at gmail.com>
Contact: <otoakhiai@gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Materials: NEWS
In views: TimeSeries
CRAN checks: ardl.nardl results

Documentation:

Reference manual: ardl.nardl.pdf

Downloads:

Package source: ardl.nardl_1.2.0.tar.gz
Windows binaries: r-devel: ardl.nardl_1.2.0.zip, r-release: ardl.nardl_1.2.0.zip, r-oldrel: not available
macOS binaries: r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): not available, r-oldrel (x86_64): not available
Old sources: ardl.nardl archive

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