bootCT (version 2.1.0)

boot_ardl: Bootstrap ARDL

Description

This is the main function of the package. It performs the bootstrap version of the ARDL bound test for cointegration.

Usage

boot_ardl(
  data,
  yvar = NULL,
  xvar = NULL,
  fix.ardl = NULL,
  info.ardl = "AIC",
  fix.vecm = NULL,
  info.vecm = "AIC",
  maxlag = 5,
  a.ardl = 0.05,
  a.vecm = 0.05,
  nboot = 2000,
  case = 3,
  a.boot.H0 = c(0.05, 0.025, 0.01),
  print = T
)

Value

List of several elements including

• data: the data used to perform estimation and testing

• ARDL: the estimated ARDL conditional model

• VECM: the estimated VECM unconditional model

• jo.testX: Johansen cointegration test on the independent variables

• pssbounds: the PSS bound test output

• smgbounds: the SMG bound test critical values

• fov.stat: the test statistics on the conditional Fov tests

• t.stat: the test statistics on the conditional t test

• find.stat: the test statistics on the conditional Find tests

• quantfov: the bootstrap conditional F Overall test critical value(s)

• quantt: the bootstrap conditional t-test critical value(s)

• quantfind: the bootstrap conditional F Independent test critical value(s)

• fakecoint: indication of the situation in which \(a_{y.x}\neq 0\) but \(a_{y.x}^{UC}=0\), signaling absence of cointegration.

Arguments

data

Input dataset. Must contain a dependent and a set of independent variables.

yvar

Name of the dependent variable, enclosed in quotation marks. If NULL, the first variable will be used.

xvar

Vector of names of the independent variables, each enclosed in quotation marks. If NULL, all variables except the first will be used.

fix.ardl

Fixed lagged differences for the short term part of the ARDL equation.

info.ardl

Selection criterion for the auto_ardl function. Options are "AIC", "AICc", BIC, "R2", "adjR2", if fix.ardl is null. Defaults to AIC.

fix.vecm

Fixed lagged differences for the short term part of the VECM equation.

info.vecm

Selection criterion for the VARselect function. Options are "AIC", "HQ", "SC", "FPE", if fix.vecm is null. Defaults to AIC.

maxlag

Max number of lags for the auto_ardl and VARselect procedures, if fix.ardl or fix.vecm are null, respectively.

a.ardl

Threshold significance for the short-term ARDL coefficients significance.

a.vecm

Threshold significance for the short-term VECM coefficients significance.

nboot

Number of bootstrap replications.

case

Model case, pertaining to the treatment of intercept and trend. Must be integer from 1 to 5. Defaults to 3.

a.boot.H0

Probability/ies by which the critical quantiles of the bootstrap distribution(s) must be calculated.

print

Show the progress bar.

Examples

if (FALSE) {
#LOAD DATA
data("ger_macro")
# DATA PREPARATION
LNDATA = apply(ger_macro[,-1], 2, log)
col_ln = paste0("LN", colnames(ger_macro)[-1])
LNDATA = as.data.frame(LNDATA)
colnames(LNDATA) = col_ln
LNDATA$DATE = ger_macro$DATE
#ARDL BOOT 
BCT_res = boot_ardl(data = LNDATA,
                   yvar = "LNCONS",
                   xvar = c("LNINCOME","LNINVEST"),
                   maxlag = 5,
                   a.ardl = 0.1,
                   a.vecm = 0.1,
                   nboot = 2000,
                   case = 3,
                   a.boot.H0 = c(0.05),
                   print = T)
summary(boot_res)
}