fqardl
Fourier ARDL Methods: Quantile, Nonlinear, Multi-Threshold & Unit Root Tests
Comprehensive implementation of advanced ARDL methodologies for cointegration analysis with structural breaks and asymmetric effects. Includes: (1) Fourier Quantile ARDL (FQARDL) - quantile regression with Fourier approximation for analyzing relationships across the conditional distribution; (2) Fourier Nonlinear ARDL (FNARDL) - asymmetric cointegration with partial sum decomposition following Shin, Yu & Greenwood-Nimmo (2014) <doi:10.1007/978-1-4899-8008-3_9>; (3) Multi-Threshold NARDL (MTNARDL) - multiple regime asymmetry analysis; (4) Fourier Unit Root Tests - ADF and KPSS tests with Fourier terms following Enders & Lee (2012) <doi:10.1016/j.econlet.2012.05.019> and Becker, Enders & Lee (2006) <doi:10.1111/j.1467-9892.2006.00490.x>. Features automatic lag and frequency selection, PSS bounds testing following Pesaran, Shin & Smith (2001) <doi:10.1002/jae.616>, bootstrap cointegration tests, Wald tests for asymmetry, dynamic multiplier computation, and publication-ready visualizations. Ported from Stata/Python by Dr. Merwan Roudane.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.2 |
rolling source/ R- | fqardl_1.0.2.tar.gz |
50.5 KiB |
1.0.2 |
rolling linux/jammy R-4.5 | fqardl_1.0.2.tar.gz |
224.7 KiB |
1.0.2 |
latest source/ R- | fqardl_1.0.2.tar.gz |
50.5 KiB |
1.0.2 |
latest linux/jammy R-4.5 | fqardl_1.0.2.tar.gz |
224.7 KiB |
1.0.2 |
2026-04-23 source/ R- | fqardl_1.0.2.tar.gz |
50.5 KiB |
1.0.2 |
2026-04-09 windows/windows R-4.5 | fqardl_1.0.2.zip |
228.6 KiB |