{ "_id": "6a227242cd65a98ecbd49455", "Package": "fqardl", "Type": "Package", "Title": "Fourier ARDL Methods: Quantile, Nonlinear, Multi-Threshold &\nUnit Root Tests", "Version": "1.0.2", "Date": "2026-02-25", "Author": "Muhammad Alkhalaf [aut, cre, cph] (ORCID:\n), Merwan Roudane [ctb]\n(Original Stata/Python implementation)", "Maintainer": "Muhammad Alkhalaf ", "Authors@R": "c(\nperson(\"Muhammad\", \"Alkhalaf\",\nemail = \"muhammedalkhalaf@gmail.com\",\nrole = c(\"aut\", \"cre\", \"cph\"),\ncomment = c(ORCID = \"0009-0002-2677-9246\")),\nperson(\"Merwan\", \"Roudane\",\nemail = \"merwanroudane920@gmail.com\",\nrole = c(\"ctb\"),\ncomment = \"Original Stata/Python implementation\"))", "Description": "Comprehensive implementation of advanced ARDL\nmethodologies for cointegration analysis with structural breaks\nand asymmetric effects. Includes: (1) Fourier Quantile ARDL\n(FQARDL) - quantile regression with Fourier approximation for\nanalyzing relationships across the conditional distribution;\n(2) Fourier Nonlinear ARDL (FNARDL) - asymmetric cointegration\nwith partial sum decomposition following Shin, Yu &\nGreenwood-Nimmo (2014) ; (3)\nMulti-Threshold NARDL (MTNARDL) - multiple regime asymmetry\nanalysis; (4) Fourier Unit Root Tests - ADF and KPSS tests with\nFourier terms following Enders & Lee (2012)\n and Becker, Enders & Lee\n(2006) . Features\nautomatic lag and frequency selection, PSS bounds testing\nfollowing Pesaran, Shin & Smith (2001) ,\nbootstrap cointegration tests, Wald tests for asymmetry,\ndynamic multiplier computation, and publication-ready\nvisualizations. 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true, "tojson": true }, { "name": "oil_gdp_data", "title": "Simulated Oil Price and GDP Data with Asymmetric Effects", "object": "oil_gdp_data", "class": [ "data.frame" ], "fields": [ "date", "gdp", "oil_price" ], "rows": 200, "table": true, "tojson": true } ], "_help": [ { "page": "fqardl-package", "title": "Fourier ARDL Methods for R", "topics": [ "fqardl-package" ] }, { "page": "bootstrap_bounds_test", "title": "Bootstrap Bounds Test", "topics": [ "bootstrap_bounds_test" ] }, { "page": "compute_asymmetric_multipliers", "title": "Compute Asymmetric Multipliers", "topics": [ "compute_asymmetric_multipliers" ] }, { "page": "compute_diagnostics", "title": "Compute Model Diagnostics", "topics": [ "compute_diagnostics" ] }, { "page": "compute_multipliers", "title": "Compute Long-run and Short-run Multipliers", "topics": [ "compute_multipliers" ] }, { "page": "decompose_multi_threshold", "title": "Multi-Threshold Decomposition", "topics": [ "decompose_multi_threshold" ] }, { "page": "decompose_variables", "title": "Decompose Variables into Positive and Negative Changes", "topics": [ "decompose_variables" ] }, { "page": "estimate_qardl", "title": "Estimate Quantile ARDL Model", "topics": [ "estimate_qardl" ] }, { "page": "fadf_f_test", "title": "F-test for Linearity in Fourier ADF", "topics": [ "fadf_f_test" ] }, { "page": "fnardl", "title": "Fourier Nonlinear ARDL Estimation", "topics": [ "fnardl" ] }, { "page": "fourier_adf", "title": "Fourier ADF Unit Root Test", "topics": [ "fourier_adf" ] }, { "page": "fourier_adf_test", "title": "============================================================================= Fourier Unit Root Tests Based on Enders & Lee (2012) and Becker, Enders & Lee (2006) Ported from Python: Dr. Merwan Roudane R implementation: Muhammad Alkhalaf (Rufyq Elngeh) ============================================================================= Fourier ADF Test", "topics": [ "fourier_adf_test" ] }, { "page": "fourier_kpss_test", "title": "Fourier KPSS Test", "topics": [ "fourier_kpss_test" ] }, { "page": "fourier_unit_root_analysis", "title": "Complete Unit Root Analysis", "topics": [ "fourier_unit_root_analysis" ] }, { "page": "fqardl", "title": "Fourier Quantile ARDL Estimation", "topics": [ "fqardl" ] }, { "page": "generate_fnardl_report", "title": "Generate FNARDL Report", "topics": [ "generate_fnardl_report" ] }, { "page": "generate_fourier_terms", "title": "============================================================================= Fourier Approximation Functions For capturing smooth structural breaks ============================================================================= Generate Fourier Trigonometric Terms", "topics": [ "generate_fourier_terms" ] }, { "page": "macro_data", "title": "Simulated Macroeconomic Data with Structural Break", "topics": [ "macro_data" ] }, { "page": "mtnardl", "title": "Multi-Threshold Nonlinear ARDL", "topics": [ "mtnardl" ] }, { "page": "oil_gdp_data", "title": "Simulated Oil Price and GDP Data with Asymmetric Effects", "topics": [ "oil_gdp_data" ] }, { "page": "perform_bounds_test", "title": "============================================================================= Bounds Test for Cointegration Based on Pesaran, Shin & Smith (2001) With extensions for Quantile ARDL ============================================================================= Perform Bounds Test for Cointegration", "topics": [ "perform_bounds_test" ] }, { "page": "plot_cumulative_multipliers", "title": "Plot Cumulative Multipliers", "topics": [ "plot_cumulative_multipliers" ] }, { "page": "plot_dynamic_multipliers", "title": "Plot Dynamic Multipliers", "topics": [ "plot_dynamic_multipliers" ] }, { "page": "plot_persistence", "title": "Plot Persistence Profile", "topics": [ "plot_persistence" ] }, { "page": "plot.fnardl", "title": "============================================================================= Visualization Functions for FNARDL Dynamic Multiplier Plots and Asymmetry Analysis 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