Computes the nonlinear cointegrating autoregressive distributed lag model with p lags of the dependent variable and q lags of independent variables proposed by (Shin, Yu & Greenwood-Nimmo, 2014 <doi:10.1007/978-1-4899-8008-3_9>).
| Package: | Nardl |
| Type: | Package |
| Version: | 0.1.5 |
| Date: | 2018-05-07 |
| License: | GPL-3 |
In this package, we apply the ordinary least squares method to estimate the cointegrating nonlinear ARDL (NARDL) model in which short and long-run nonlinearities are introduced via positive and negative partial sum decompositions of the explanatory variables.Besides, we provide the CUSUM, CUSUMSQ model stability tests, model selection via aic, bic and rsqaured criteria and the dynamic multipliers plot.
Shin, Y., Yu, B., Greenwood-Nimmo, M. (2011): Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. Working paper http://ssrn.com/abstract=1807745