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: | 1.3.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | gets,plyr,dplyr,rlist,nardl,car,lmtest,texreg,stringr,tseries,sandwich,purrr,tidyselect |
| Suggests: | dynamac |
| Published: | 2024-01-30 |
| DOI: | 10.32614/CRAN.package.ardl.nardl |
| 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:
Downloads:
Linking:
Please use the canonical formhttps://CRAN.R-project.org/package=ardl.nardlto link to this page.