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mvardlurt

Multivariate ARDL Unit Root Test

Implements the multivariate autoregressive distributed lag (ARDL) unit root test proposed by Sam, McNown, Goh, and Goh (2024) <doi:10.1080/03796205.2024.2439101>. The test augments the standard ADF regression with lagged levels of a covariate to improve power when cointegration exists. Bootstrap critical values ensure correct size regardless of nuisance parameters. Provides automatic lag selection via AIC/BIC, diagnostic tests, and comprehensive inference tables following the four-case framework.

Versions across snapshots

VersionRepositoryFileSize
1.0.2 rolling linux/jammy R-4.5 mvardlurt_1.0.2.tar.gz 58.8 KiB
1.0.2 rolling linux/noble R-4.5 mvardlurt_1.0.2.tar.gz 58.7 KiB
1.0.2 rolling source/ R- mvardlurt_1.0.2.tar.gz 15.0 KiB
1.0.2 latest linux/jammy R-4.5 mvardlurt_1.0.2.tar.gz 58.8 KiB
1.0.2 latest linux/noble R-4.5 mvardlurt_1.0.2.tar.gz 58.7 KiB
1.0.2 latest source/ R- mvardlurt_1.0.2.tar.gz 15.0 KiB
1.0.2 2026-04-26 source/ R- mvardlurt_1.0.2.tar.gz 15.0 KiB
1.0.2 2026-04-23 source/ R- mvardlurt_1.0.2.tar.gz 15.0 KiB
1.0.2 2026-04-09 windows/windows R-4.5 mvardlurt_1.0.2.zip 61.4 KiB

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