TWOSTEP_NARDL: Stata module providing Two-step estimation of the Nonlinear Autoregressive Distributed Lag (NARDL)

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: twostep_nardl implements the two-step estimation framework for the Nonlinear Autoregressive Distributed Lag (NARDL) model developed by Cho, Greenwood-Nimmo, and Shin (2019). The NARDL model (Shin, Yu, and Greenwood-Nimmo, 2014) is an asymmetric extension of the ARDL model of Pesaran, Shin, and Smith (2001). It decomposes changes in independent variables into positive and negative partial sums, allowing separate long-run and short-run coefficients for increases vs. decreases.

Language: Stata
Requires: Stata version 14
Keywords: ARDL; autoregressive distributed lag model; nonlinear estimation (search for similar items in EconPapers)
Date: 2026-03-13
Note: This module should be installed from within Stata by typing "ssc install twostep_nardl". 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/t/twostep_nardl.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/twostep_nardl.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/twostep_nardl_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/twostep_nardl_estat.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_2snardl_mata.do sample do-file (text/plain)

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