MTNARDL: Stata module to perform Bootstrap Multiple Threshold Nonlinear ARDL

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: mtnardl implements the Multiple Threshold Nonlinear Autoregressive Distributed Lag (MTNARDL) model proposed by Pal and Mitra (2016). Unlike the standard Nonlinear ARDL (NARDL) which decomposes changes into positive and negative components (binary split), the MTNARDL decomposes changes in independent variables into quantile-based regimes. This allows testing whether the magnitude of price changes matters for transmission asymmetry, not just the direction.

Language: Stata
Requires: Stata version 17
Keywords: ARDL; autoregressive; distributed lag; bootstrap; threshold (search for similar items in EconPapers)
Date: 2026-02-25
Note: This module should be installed from within Stata by typing "ssc install mtnardl". 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/m/mtnardl.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mtnardl.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_mtnardl_advanced.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_mtnardl_bootstrap.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_mtnardl_decompose.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_mtnardl_diagtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_mtnardl_dynmult.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_mtnardl_stars.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mtnardl_example.do sample do-file (text/plain)

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