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ARDL: ARDL, ECM and Bounds-Test for Cointegration

Creates complex autoregressive distributed lag (ARDL) models and constructs the underlying unrestricted and restricted error correction model (ECM) automatically, just by providing the order. It also performs the bounds-test for cointegration as described in Pesaran et al. (2001) <doi:10.1002/jae.616> and provides the multipliers and the cointegrating equation. The validity and the accuracy of this package have been verified by successfully replicating the results of Pesaran et al. (2001) in Natsiopoulos and Tzeremes (2022) <doi:10.1002/jae.2919>.

Version: 0.2.4
Depends: R (≥ 3.5.0)
Imports: aod, dplyr, dynlm, gridExtra, ggplot2, lmtest, msm, stringr, zoo
Suggests: strucchange, tseries, qpcR, sandwich, testthat (≥ 3.0.0)
Published: 2023-08-21
DOI: 10.32614/CRAN.package.ARDL
Author: Kleanthis Natsiopoulos ORCID iD [aut, cre], Nickolaos Tzeremes ORCID iD [aut]
Maintainer: Kleanthis Natsiopoulos <klnatsio at gmail.com>
BugReports: https://github.com/Natsiopoulos/ARDL/issues
License: GPL-3
URL: https://github.com/Natsiopoulos/ARDL
NeedsCompilation: no
Citation: ARDL citation info
Materials: README NEWS
In views: TimeSeries
CRAN checks: ARDL results

Documentation:

Reference manual: ARDL.pdf

Downloads:

Package source: ARDL_0.2.4.tar.gz
Windows binaries: r-devel: ARDL_0.2.4.zip, r-release: ARDL_0.2.4.zip, r-oldrel: ARDL_0.2.4.zip
macOS binaries: r-release (arm64): ARDL_0.2.4.tgz, r-oldrel (arm64): ARDL_0.2.4.tgz, r-release (x86_64): ARDL_0.2.4.tgz, r-oldrel (x86_64): ARDL_0.2.4.tgz
Old sources: ARDL archive

Reverse dependencies:

Reverse imports: bootCT

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.