fbardl
Fourier Bootstrap ARDL Cointegration Test
Implements the Fourier Bootstrap Autoregressive Distributed Lag (FBARDL) bounds testing approach for cointegration analysis. Combines the Pesaran, Shin & Smith (2001) <doi:10.1002/jae.616> ARDL bounds testing framework with Fourier terms to capture structural breaks following Yilanci, Bozoklu & Gorus (2020) <doi:10.1080/00036846.2019.1686454>, and bootstrap critical values based on McNown, Sam & Goh (2018) <doi:10.1080/00036846.2017.1366643> and Bertelli, Vacca & Zoia (2022) <doi:10.1016/j.econmod.2022.105987>. Features include automatic lag selection via AIC/BIC, optimal Fourier frequency selection by minimum SSR, long-run and short-run coefficient estimation, diagnostic tests, and dynamic multiplier analysis.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.2 |
rolling source/ R- | fbardl_1.0.2.tar.gz |
20.3 KiB |
1.0.2 |
latest source/ R- | fbardl_1.0.2.tar.gz |
20.3 KiB |
1.0.2 |
2026-04-23 source/ R- | fbardl_1.0.2.tar.gz |
20.3 KiB |
1.0.2 |
2026-04-09 windows/windows R-4.5 | fbardl_1.0.2.zip |
70.3 KiB |