RARDL: Stata module to perform Rolling-Window and Recursive ARDL Cointegration Analysis

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: rardl implements the Rolling-Window ARDL bounds testing approach of Shahbaz, Khan & Mubarak (2023) and the Recursive ARDL, ADF, and Granger causality tests of Khan, Shahbaz & Napari (2023). These methods evaluate subsample stability and time-varying cointegration. The core idea is to apply the Pesaran, Shin & Smith (2001) ARDL bounds test not just once on the full sample, but repeatedly across overlapping sub-samples (rolling windows) or expanding sub-samples (recursive). This reveals when and how the long-run equilibrium relationship changes over time.

Language: Stata
Requires: Stata version 17
Keywords: ARDL; autoregressive; distributed lag; rolling window; ARDL bounds test (search for similar items in EconPapers)
Date: 2026-02-25
Note: This module should be installed from within Stata by typing "ssc install rardl". 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/r/rardl.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rardl.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rardl_radf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rardl_recursive.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rardl_rgranger.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rardl_rolling.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rardl_simulate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rardl_stars.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/test/rardl.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/commodity_data.xlsx sample data file (text/plain)

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