dynamac_pkg_bounds_test

This is an Abridged version of Jordan and Philips (2020). Please, see the dynamac package for the full documentation and due reference be given to the authors of dynamac - Jordan and Philips (2020).

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.

Eric I. Otoakhia

ardl.nardl

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

dynamac_pkg_bounds_test function

<dl> <dt>obs</dt>
<dd>Number of observations</dd> <dt>fstat</dt>
<dd>F-statistics</dd> <dt>tstat</dt>
<dd>'t-statistic of the lagged dependent variable'</dd> <dt>case</dt>
<dd>case I to IV</dd> <dt>k</dt>
<dd>'number of regressors appearing in levels in the estimated model, not including the lagged dependent variable'</dd></dl>

Arguments

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

<dl>

 <dt>obs</dt>
<dd>Number of observations</dd>

 <dt>fstat</dt>
<dd>F-statistics</dd>

 <dt>tstat</dt>
<dd>'t-statistic of the lagged dependent variable'</dd>

 <dt>case</dt>
<dd>case I to IV</dd>

 <dt>k</dt>
<dd>'number of regressors appearing in levels in the estimated model, not including the lagged dependent variable'</dd>

</dl>

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

Description

Usage

Value

Arguments

References

See Also