ARDL: An R Package for ARDL Models and Cointegration

被引：1
|
作者：
Natsiopoulos, Kleanthis [1 ]
Tzeremes, Nickolaos G. [1 ]
机构：
[1] Univ Thessaly, Dept Econ, 28th October St 78, Volos 38333, Greece
来源：
COMPUTATIONAL ECONOMICS | 2024年 / 64卷 / 03期
关键词：
R; R package; ARDL; Bounds test; Cointegration; C22; C87; Y20;
D O I：
10.1007/s10614-023-10487-z
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper presents the ARDL package for the statistical language R, demonstrating its main functionalities in a step by step guide. Some of its main advantages over other related R packages are the intuitive API, and the fact that includes many important features missing from other packages that are essential for an in depth analysis. Additionally, it is designed in such a way that it can be combined with other packages for post regression diagnostics and tests. These characteristics are shown through an example, where we showcase part of the application demonstrated in the seminal work of Pesaran et al. (J Appl Econom 16:289-326, 2001).
引用
收藏
页码：1757 / 1773
页数：17
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