boot_ardl_c

Code to generate data having a VECM-ARDL structure

internal

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 - <doi:10.1002/jae.616>) and the asymptotic test on the independent variables of Sam, McNown and Goh (SMG: 2019 - <doi:10.1016/j.econmod.2018.11.001>). Bootstrap and bound tests are performed under both the conditional and unconditional ARDL models.

Gianmarco Vacca

bootCT

Bootstrapping the ARDL Tests for Cointegration

boot_ardl_c function

<dl><dt>r_in</dt>
<dd>input residuals</dd>
<dt>GAMMAX</dt>
<dd>short run parameter matrices column bound, first row in conditional form</dd>
<dt>A</dt>
<dd>long-run parameter matrix, first row in conditional form</dd>
<dt>start_z</dt>
<dd>data matrix of starting point</dd>
<dt>omegat</dt>
<dd>parameter vector of the unlagged differences</dd>
<dt>interc</dt>
<dd>vecm intercept, first element in conditional form</dd>
<dt>trend</dt>
<dd>vecm trend, first element in conditional form</dd></dl>

Arguments

Code to generate data having a VECM-ARDL structure — boot_ardl_c

<dl>

<dt>r_in</dt>
<dd>input residuals</dd>


<dt>GAMMAX</dt>
<dd>short run parameter matrices column bound, first row in conditional form</dd>


<dt>A</dt>
<dd>long-run parameter matrix, first row in conditional form</dd>


<dt>start_z</dt>
<dd>data matrix of starting point</dd>


<dt>omegat</dt>
<dd>parameter vector of the unlagged differences</dd>


<dt>interc</dt>
<dd>vecm intercept, first element in conditional form</dd>


<dt>trend</dt>
<dd>vecm trend, first element in conditional form</dd>

</dl>

boot_ardl_c: Code to generate data having a VECM-ARDL structure

Description

Value

Arguments