ARDL, ECM and Bounds-Test for Cointegration

Creates complex autoregressive distributed lag (ARDL) models providing just the order and automatically constructs the underlying unrestricted and restricted error correction model (ECM). It also performs the bounds-test for cointegration as described in Pesaran et al. (2001) and provides the multipliers and the cointegrating equation.


Reference manual

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0.1.1 by Kleanthis Natsiopoulos, 10 months ago

Browse source code at

Authors: Kleanthis Natsiopoulos [aut, cre] , Nickolaos Tzeremes [aut]

Documentation:   PDF Manual  

GPL-3 license

Imports aod, dplyr, dynlm, lmtest, msm, stringr, zoo

Suggests qpcR, sandwich, xts

See at CRAN