ARDL: An R Package for ARDL Models and Cointegration

Kleanthis Natsiopoulos, Nickolaos G. Tzeremes (Lead / Corresponding author)

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

This paper presents the ARDL package for the statistical language R, demonstrating its main functionalities in a step by step guide. Some of its main advantages over other related R packages are the intuitive API, and the fact that includes many important features missing from other packages that are essential for an in depth analysis. Additionally, it is designed in such a way that it can be combined with other packages for post regression diagnostics and tests. These characteristics are shown through an example, where we showcase part of the application demonstrated in the seminal work of Pesaran et al. (J Appl Econom 16:289–326, 2001).
Original languageEnglish
Number of pages17
JournalComputational Economics
Early online date2 Nov 2023
DOIs
Publication statusE-pub ahead of print - 2 Nov 2023

Keywords

  • ARDL
  • Bounds test
  • Cointegration
  • R
  • R package

ASJC Scopus subject areas

  • Economics, Econometrics and Finance (miscellaneous)
  • Computer Science Applications

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