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bootCT (version 2.1.0)

Bootstrapping the ARDL Tests for Cointegration

Description

The bootstrap ARDL tests for cointegration is the main functionality of this package. It also acts as a wrapper of the most commond ARDL testing procedures for cointegration: the bound tests of Pesaran, Shin and Smith (PSS; 2001 - ) and the asymptotic test on the independent variables of Sam, McNown and Goh (SMG: 2019 - ). Bootstrap and bound tests are performed under both the conditional and unconditional ARDL models.

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Version

Install

install.packages('bootCT')

Monthly Downloads

233

Version

2.1.0

License

GPL (>= 2)

Maintainer

Gianmarco Vacca

Last Published

January 15th, 2024

Functions in bootCT (2.1.0)

boot_ardl

Bootstrap ARDL
boot_ardl_c

Code to generate data having a VECM-ARDL structure
strip_formula_H0

Removes the variables imposed under the null from an ARDL formula object
strip_formula_UC

Removes the unlagged differences imposed under the conditional ARDL model
ita_macro

Export, Foreign Investment and GDP dataset.
smk_crit

Critical values of the F-test on the independent variables in the conditional ARDL model.
ger_macro

Investment, Income and Consumption dataset.
summary.bootCT

Summary method
lag_mts

Create matrix of lagged variables
sim_vecm_ardl

Generate data from a VECM/ARDL equation
ardl_to_lm

Convert ARDL to lm