lagm

Take the lag of a variable using the specified number of lag(s).

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

lagm function

<dl> <dt>x</dt>
<dd>a matrix object</dd> <dt>k</dt>
<dd>number of lags</dd></dl>

Arguments

Lag a matrix — lagm

<dl>

 <dt>x</dt>
<dd>a matrix object</dd>

 <dt>k</dt>
<dd>number of lags</dd>

</dl>

lagm: Lag a matrix

Description

Usage

Value

Arguments

Examples