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.


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Reference manual

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install.packages("ARDL")

0.1.0 by Kleanthis Natsiopoulos, 2 months ago


https://github.com/Natsiopoulos/ARDL


Browse source code at https://github.com/cran/ARDL


Authors: Kleanthis Natsiopoulos [aut, cre, dis] , Nickolaos Tzeremes [ths] , University of Thessaly , Department of Economics [dgg]


Documentation:   PDF Manual  


GPL-3 license


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

Suggests qpcR, sandwich, xts


See at CRAN