ARDL: An R Package for ARDL Models and Cointegration

Kleanthis Natsiopoulos () and Nickolaos G. Tzeremes ()
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Kleanthis Natsiopoulos: University of Thessaly
Nickolaos G. Tzeremes: University of Thessaly

Computational Economics, 2024, vol. 64, issue 3, No 15, 1757-1773

Abstract: 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).

Keywords: R; R package; ARDL; Bounds test; Cointegration (search for similar items in EconPapers)
JEL-codes: C22 C87 Y20 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10614-023-10487-z

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