Package: fbardl 1.2.0

fbardl: Fourier Bootstrap ARDL Cointegration Test

Implements the Fourier Bootstrap Autoregressive Distributed Lag (FBARDL) bounds testing approach for cointegration analysis. Combines the Pesaran, Shin and Smith (2001) <doi:10.1002/jae.616> ARDL bounds testing framework with Fourier terms to capture smooth structural breaks, as in Yilanci, Bozoklu and Gorus (2020) <doi:10.1016/j.scs.2020.102035>, and recursive bootstrap critical values following McNown, Sam and Goh (2018) <doi:10.1080/00036846.2017.1366643> and Bertelli, Vacca and Zoia (2022) <doi:10.1016/j.econmod.2022.105987>, with the Fourier frequency and the lags selected again in every bootstrap replication (a package choice); finite-sample bounds test critical values from Kripfganz and Schneider (2020) <doi:10.1111/obes.12377> for models without Fourier terms. Features include lag selection via AIC/BIC, Fourier frequency selection by minimum SSR, long-run and short-run coefficient estimation and diagnostic tests.

Authors:Muhammad Alkhalaf [aut, cre, cph]