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ARDL: An R Package for ARDL Models and Cointegration

Author

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  • Kleanthis Natsiopoulos

    (University of Thessaly)

  • Nickolaos G. Tzeremes

    (University of Thessaly)

Abstract

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).

Suggested Citation

  • Kleanthis Natsiopoulos & Nickolaos G. Tzeremes, 2024. "ARDL: An R Package for ARDL Models and Cointegration," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1757-1773, September.
    • Handle: RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10487-z
    DOI: 10.1007/s10614-023-10487-z
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    More about this item

    Keywords

    R; R package; ARDL; Bounds test; Cointegration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • Y20 - Miscellaneous Categories - - Introductions and Prefaces - - - Introductions and Prefaces

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