build_uecm_formula

It creates the UECM (Unrestricted Error Correction Model) specification
according to the given "formula" and the corresponding "order" of the
underlying ARDL.

internal

Creates complex autoregressive distributed lag (ARDL) models and
constructs the underlying unrestricted and restricted error correction
model (ECM) automatically, just by providing the order. It also performs
the bounds-test for cointegration as described in Pesaran et al. (2001)
<doi:10.1002/jae.616> and provides the multipliers and the cointegrating
equation. The validity and the accuracy of this package have been verified
by successfully replicating the results of Pesaran et al. (2001) in
Natsiopoulos and Tzeremes (2022) <doi:10.1002/jae.2919>.

Kleanthis Natsiopoulos

ARDL

ARDL, ECM and Bounds-Test for Cointegration

Nickolaos Tzeremes

build_uecm_formula function

<dl><dt>parsed_formula</dt>
<dd>A list containing the formula parts as returned from
<code>parse_formula</code>.</dd>
<dt>order</dt>
<dd>A numeric vector with the underlying ARDL order as returned from
<code>parse_order(restriction = FALSE)</code>.</dd></dl>

Arguments

Kleanthis Natsiopoulos, <a href="/link/klnatsio%40gmail.com?package=ARDL&version=0.2.4" data-mini-rdoc="ARDL::klnatsio@gmail.com">klnatsio@gmail.com</a>

Author

UECM formula specification builder — build_uecm_formula

<dl>

<dt>parsed_formula</dt>
<dd>A list containing the formula parts as returned from
<code>parse_formula</code>.</dd>


<dt>order</dt>
<dd>A numeric vector with the underlying ARDL order as returned from
<code>parse_order(restriction = FALSE)</code>.</dd>

</dl>

Kleanthis Natsiopoulos, <a href='mailto:klnatsio@gmail.com'>klnatsio@gmail.com</a>

build_uecm_formula: UECM formula specification builder

Description

Usage

Value

Arguments

Author

See Also