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ardl.nardl (version 1.3.0)

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

Description

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) () 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) and their corresponding tests.

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Version

Install

install.packages('ardl.nardl')

Monthly Downloads

378

Version

1.3.0

License

GPL (>= 2)

Maintainer

Eric I. Otoakhia

Last Published

January 30th, 2024

Functions in ardl.nardl (1.3.0)

gets_nardl_uecm

Parsimonious NARDL model

Time series data on output and unemployment in Canada, Japan and United States from 1981M01 to 2022M07

nardl_auto_case

Obtain the best NARDL model specification and bounds test.

Rename the coefficient of the nardl_uecm summary output

A NARDL model with two decomposed variables

Short-run symmetry restrictions (SRSR) and the longrun symmetry restrictions (LRSR).

Estimate the nonlinear ARDL (NARDL) Error Correction Model

dynamac_pkg_bounds_test

A function in 'dynamac' package to Perform Pesaran, Shin, and Smith (2001) cointegration test

Obtain the best ARDL model specification and bounds test.

Import from package nardl

Time series data from 2000M01 through 2021M03

Estimate the ARDL and ARDL Error Correction Model.

General-to-specific approach for the autoregressive distributed lag model

Import from package nardl

Import from package nardl

ardl.nardl-package

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

Inflation Expectation Dataset

data on health expenditure, per capita income and life expectancy in Sub-Saharan countries