ARDL: An R Package for ARDL Models and Cointegration

Kleanthis Natsiopoulos; Nickolaos G. Tzeremes

doi:10.1007/s10614-023-10487-z

ARDL: An R Package for ARDL Models and Cointegration

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

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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 language	English
Number of pages	17
Journal	Computational Economics
Early online date	2 Nov 2023
DOIs	https://doi.org/10.1007/s10614-023-10487-z
Publication status	E-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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10.1007/s10614-023-10487-z

Author accepted manuscriptAccepted author manuscript, 673 KBLicence: Other

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AB - 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).

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KW - Bounds test

KW - Cointegration

KW - R

KW - R package

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ARDL: An R Package for ARDL Models and Cointegration

Abstract

Keywords

ASJC Scopus subject areas

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