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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.
| Version: | 0.1.0 |
| Depends: | R (≥ 4.1.0) |
| Imports: | glmnet, stats, graphics, grDevices, utils |
| Suggests: | knitr, rmarkdown, testthat (≥ 3.0.0), tseries |
| Published: | 2026-09-15 |
| DOI: | 10.32614/CRAN.package.ardldml (may not be active yet) |
| Author: | Merwan Roudane [aut, cre, cph] |
| Maintainer: | Merwan Roudane <merwanroudane920 at gmail.com> |
| BugReports: | https://github.com/merwanroudane/ardldml/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/merwanroudane/ardldml |
| NeedsCompilation: | no |
| Language: | en-GB |
| Citation: | ardldml citation info |
| Materials: | NEWS |
| CRAN checks: | ardldml results |
| Reference manual: | ardldml.html , ardldml.pdf |
| Vignettes: |
Bounds testing when the controls carry trends (source, R code) |
| Package source: | ardldml_0.1.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): not available, r-oldrel (arm64): ardldml_0.1.0.tgz, r-release (x86_64): ardldml_0.1.0.tgz, r-oldrel (x86_64): ardldml_0.1.0.tgz |
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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.