FBNARDL: Stata module to perform Fourier Bootstrap Nonlinear Autoregressive Distributed Lag estimation

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: fbnardl estimates a Fourier Nonlinear ARDL model that combines three methodological advances: (1) the NARDL framework of Shin, Yu & Greenwood-Nimmo (2014) for asymmetric cointegration with decomposition of regressors into positive and negative partial sums, (2) Fourier trigonometric terms following Yilanci, Bozoklu & Gorus (2020) and Enders & Lee (2012) to capture smooth structural breaks of unknown form, and (3) optional bootstrap cointegration testing following Bertelli, Vacca & Zoia (2022) and McNown, Sam & Goh (2018)

Language: Stata
Requires: Stata version 17
Keywords: ARDL; autoregressive; distributed lag; Fourier (search for similar items in EconPapers)
Date: 2026-02-19
Note: This module should be installed from within Stata by typing "ssc install fbnardl". 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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http://fmwww.bc.edu/repec/bocode/f/fbnardl.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fbnardl.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_fbnardl_advanced.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_fbnardl_bootstrap.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_fbnardl_diagtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_fbnardl_dynmult.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_fbnardl_stars.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fbnardl_example.do sample do-file (text/plain)

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