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nardl

Nonlinear Cointegrating Autoregressive Distributed Lag Model

Computes the nonlinear cointegrating autoregressive distributed lag model with automatic bases aic and bic lags selection of independent variables proposed by (Shin, Yu & Greenwood-Nimmo, 2014 <doi:10.1007/978-1-4899-8008-3_9>).

Functions (8)

ArchTest

ARCH test

bp2

LM test for serial correlation

cumsq

Function cumsq

cusum

Function cusum

fod

Indian yearly data of inflation rate and percentage food import to total import

nardl

Nonlinear ARDL function

pssbounds

pssbounds

summary.nardl

Summary of a nardl model

nardl

Nonlinear Cointegrating Autoregressive Distributed Lag Model

v0.1.6

GPL-3

Authors

Taha Zaghdoudi

Initial release

nardl

Functions (8)

nardl

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