Package: ardldml
Type: Package
Title: Bounds Testing for Cointegration with Many Persistent Controls
Version: 0.1.0
Authors@R: person("Merwan", "Roudane",
                  email = "merwanroudane920@gmail.com",
                  role  = c("aut", "cre", "cph"))
Description: An implementation of the DML-Bounds procedure of Villena (2026)
    <doi:10.2139/ssrn.6472826> for testing cointegration in data-rich
    time-series settings. The Autoregressive Distributed Lag (ARDL) bounds test
    of Pesaran, Shin and Smith (2001) <doi:10.1002/jae.616> avoids pretesting
    the integration order of the regressors but is not designed for a
    high-dimensional conditioning set. Residualising the lagged levels against
    persistent controls can absorb stochastic trends and thereby change the
    finite-sample null distribution, so what governs the null is the effective
    number of stochastic trends surviving residualisation rather than the
    integration order of the original regressors. The procedure combines
    h-block cross-fitting, a balanced nuisance projection in the Double Machine
    Learning (DML) style of Chernozhukov and others (2018)
    <doi:10.1111/ectj.12097>, adaptive weighting after Zou (2006)
    <doi:10.1198/016214506000000735>, and a restricted system wild bootstrap
    that regenerates the dependent variable and the focal regressor jointly.
    No critical-value table is shipped: the classical bracket is regenerated by
    simulation and the operational critical value is bootstrapped. A
    trend-absorption diagnostic and a penalty-sensitivity sweep report whether a
    verdict survives a change of conditioning set. Monthly United States
    macroeconomic series from the 'FRED-MD' database of McCracken and Ng (2016)
    <doi:10.1080/07350015.2015.1086655> are bundled so every example runs
    offline.
License: MIT + file LICENSE
Encoding: UTF-8
Language: en-GB
Depends: R (>= 4.1.0)
Imports: glmnet, stats, graphics, grDevices, utils
Suggests: knitr, rmarkdown, testthat (>= 3.0.0), tseries
VignetteBuilder: knitr
LazyData: true
RoxygenNote: 7.3.3
URL: https://github.com/merwanroudane/ardldml
BugReports: https://github.com/merwanroudane/ardldml/issues
Config/testthat/edition: 3
NeedsCompilation: no
Packaged: 2026-09-07 18:36:46 UTC; HP
Author: Merwan Roudane [aut, cre, cph]
Maintainer: Merwan Roudane <merwanroudane920@gmail.com>
Repository: CRAN
Date/Publication: 2026-09-15 12:20:09 UTC
Built: R 4.5.2; ; 2026-09-15 14:23:22 UTC; unix
