TNARDLL: Stata module to estimate Threshold (Nonlinear) Autoregressive Distributed Lag model

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: tnardll estimates the Threshold ARDL (TARDL) model of Cho, Greenwood-Nimmo and Shin (2020c, 2020d), surveyed in Cho, Greenwood-Nimmo and Shin (2021). The TARDL model generalises the Nonlinear ARDL (NARDL) of Shin, Yu and Greenwood-Nimmo (2014) by decomposing the first differences of one regressor into regime-specific partial-sum processes around one or more unknown threshold values, rather than the known value of zero used by NARDL. This admits size (momentum) asymmetry in addition to sign asymmetry.

Language: Stata
Requires: Stata version 17
Keywords: nonlinear ARDL; threshold model (search for similar items in EconPapers)
Date: 2026-06-10
Note: This module should be installed from within Stata by typing "ssc install tnardll". 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/t/tnardll_p.ado
http://fmwww.bc.edu/repec/bocode/t/tnardll.ado
http://fmwww.bc.edu/repec/bocode/t/tnardlldiag.ado
http://fmwww.bc.edu/repec/bocode/t/tnardllmult.ado
http://fmwww.bc.edu/repec/bocode/t/tnardll.sthlp
http://fmwww.bc.edu/repec/bocode/t/tnardlldiag.sthlp
http://fmwww.bc.edu/repec/bocode/t/tnardllmult.sthlp

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