ARDLDML: Stata module to perform DML-Bounds: ARDL bounds testing for cointegration with many persistent controls

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: ardldml implements DML-Bounds, the procedure of Villena (2026): a test for a long-run (cointegrating) relationship between depvar and focalvar when the conditioning set is high-dimensional and may itself carry stochastic trends. The classical ARDL bounds test of Pesaran, Shin and Smith (2001) brackets one unknown: whether the tested regressors are I(0) or I(1). With a large, persistent control set a second unknown appears. Partialling out controls that carry stochastic trends can absorb part of the long-run variation that identifies the error-correction relation. What then governs the null is not the integration order of the original regressors but the {bf:effective integrated count} k-tilde: the number of stochastic trends that survive residualisation. k-tilde = k puts the null at the classical I(1) endpoint, k-tilde = 0 at the I(0) endpoint, and anything between lands inside the bracket. The procedure has three stages. A balanced first stage projects the differenced outcome on stationary regressors only and the lagged levels on the control levels, cross-fitted over contiguous time blocks separated by an h-observation buffer. The lagged levels are then residualised, and the F form of the Wald test of joint insignificance is computed on the orthogonalised terms. Inference comes from a restricted system wild bootstrap that regenerates the outcome and the focal regressor jointly under the null.

Language: Stata
Requires: Stata version 14
Keywords: ARDL; cointegration; bounds (search for similar items in EconPapers)
Date: 2026-08-25, Revised 2026-08-27
Note: This module should be installed from within Stata by typing "ssc install ardldml". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/ardldml.ado
http://fmwww.bc.edu/repec/bocode/a/ardldml.mata
http://fmwww.bc.edu/repec/bocode/a/ardldml.sthlp
http://fmwww.bc.edu/repec/bocode/a/ardldml_buildmlib.do
http://fmwww.bc.edu/repec/bocode/a/ardldml_estat.ado
http://fmwww.bc.edu/repec/bocode/a/ardldml_example.do
http://fmwww.bc.edu/repec/bocode/a/ardldml_examples.sthlp
http://fmwww.bc.edu/repec/bocode/a/ardldml_mcheck.do
http://fmwww.bc.edu/repec/bocode/a/ardldml_methods.sthlp
http://fmwww.bc.edu/repec/bocode/a/ardldml_p.ado
http://fmwww.bc.edu/repec/bocode/a/ardldml_mata.ado
http://fmwww.bc.edu/repec/bocode/a/ardldml_passthrough.dta
http://fmwww.bc.edu/repec/bocode/a/ardldml_postestimation.sthlp
http://fmwww.bc.edu/repec/bocode/a/ardldml_validate.do
http://fmwww.bc.edu/repec/bocode/_/_ardldml_blockgraph.ado
http://fmwww.bc.edu/repec/bocode/_/_ardldml_nullgraph.ado
http://fmwww.bc.edu/repec/bocode/l/lardldml.mlib

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