Package: fqardl 1.1.0

fqardl: Fourier ARDL Methods: Quantile, Nonlinear, Multi-Threshold & Unit Root Tests

Implementation of ARDL methods for cointegration analysis with structural breaks and asymmetric effects. Includes: (1) Fourier Quantile ARDL (FQARDL), quantile regression with Fourier approximation following the quantile ARDL of Cho, Kim and Shin (2015) <doi:10.1016/j.jeconom.2015.05.003>; (2) Fourier Nonlinear ARDL (FNARDL), asymmetric cointegration with partial sum decomposition following Shin, Yu and Greenwood-Nimmo (2014) <doi:10.1007/978-1-4899-8008-3_9>; (3) a deprecated Multi-Threshold NARDL (MTNARDL) function; (4) Fourier unit root tests, ADF and KPSS tests with Fourier terms following Enders and Lee (2012) <doi:10.1016/j.econlet.2012.04.081> and Becker, Enders and Lee (2006) <doi:10.1111/j.1467-9892.2006.00478.x>. Features automatic lag and frequency selection, Wald bounds statistics with the tables of Pesaran, Shin and Smith (2001) <doi:10.1002/jae.616> (no verdict with Fourier terms, for which the tables are not valid), recursive bootstrap bounds tests following Bertelli, Vacca and Zoia (2022) <doi:10.1016/j.econmod.2022.105987> and McNown, Sam and Goh (2018) <doi:10.1080/00036846.2017.1366643>, Wald tests for asymmetry, multiplier computation, and visualizations.

Authors:Muhammad Alkhalaf [aut, cre, cph]

fqardl_1.1.0.tar.gz
fqardl_1.1.0.zip(r-4.7-any)fqardl_1.1.0.zip(r-4.6-any)fqardl_1.1.0.zip(r-4.5-any)
fqardl_1.1.0.tgz(r-4.6-any)fqardl_1.1.0.tgz(r-4.5-any)
fqardl_1.1.0.tar.gz(r-4.7-any)fqardl_1.1.0.tar.gz(r-4.6-any)
fqardl_1.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
fqardl/json (API)

# Install 'fqardl' in R:
install.packages('fqardl', repos = c('https://muhammedalkhalaf.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/muhammedalkhalaf/fqardl/issues

Datasets:
  • macro_data - Simulated Macroeconomic Data with Structural Break
  • oil_gdp_data - Simulated Oil Price and GDP Data with Asymmetric Effects

On CRAN:

Conda:

3.40 score 1 stars 387 downloads 25 exports 37 dependencies

Last updated from:d6cd3dd4ec. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK151
source / vignettesOK192
linux-releaseOK123
macos-releaseOK128
macos-oldrelOK108
windows-develOK93
windows-releaseOK97
windows-oldrelOK94
wasm-releaseOK108

Exports:bootstrap_bounds_testcompute_asymmetric_multiplierscompute_diagnosticscompute_multipliersdecompose_multi_thresholddecompose_variablesestimate_qardlfadf_f_testfnardlfourier_adffourier_adf_testfourier_kpss_testfourier_unit_root_analysisfqardlgenerate_fnardl_reportgenerate_fourier_termsmtnardlperform_bounds_testplot_cumulative_multipliersplot_dynamic_multipliersplot_persistencequantile_wald_testselect_fourier_frequencyselect_optimal_lagstest_asymmetry

Dependencies:clicpp11dplyrfarvergenericsggplot2gluegridExtragtableisobandlabelinglatticelifecyclemagrittrMASSMatrixMatrixModelspillarpkgconfigpurrrquantregR6RColorBrewerrlangS7scalesSparseMstringistringrsurvivaltibbletidyrtidyselectutf8vctrsviridisLitewithr

Readme and manuals

Help Manual

Help pageTopics
Fourier ARDL Methods for Rfqardl-package
Bootstrap Bounds Testbootstrap_bounds_test
Compute Asymmetric Multiplierscompute_asymmetric_multipliers
Compute Model Diagnosticscompute_diagnostics
Compute Long-run and Short-run Multiplierscompute_multipliers
Multi-Threshold Decompositiondecompose_multi_threshold
Decompose Variables into Positive and Negative Changesdecompose_variables
Estimate Quantile ARDL Modelestimate_qardl
F-test for Linearity in Fourier ADFfadf_f_test
Fourier Nonlinear ARDL Estimationfnardl
Fourier ADF Unit Root Testfourier_adf
Fourier ADF Testfourier_adf_test
Fourier KPSS Testfourier_kpss_test
Complete Unit Root Analysisfourier_unit_root_analysis
Fourier Quantile ARDL Estimationfqardl
Generate FNARDL Reportgenerate_fnardl_report
Generate Fourier Trigonometric Termsgenerate_fourier_terms
Simulated Macroeconomic Data with Structural Breakmacro_data
Multi-Threshold NARDL Estimation (deprecated)mtnardl
Simulated Oil Price and GDP Data with Asymmetric Effectsoil_gdp_data
Wald Bounds Test for Cointegrationperform_bounds_test
Plot Cumulative Multipliersplot_cumulative_multipliers
Plot Dynamic Multipliersplot_dynamic_multipliers
Plot Persistence Profileplot_persistence
Plot FNARDL Resultsplot.fnardl
Plot FQARDL Resultsplot.fqardl
Plot method for fqardl mtnardl objectsplot.fqardl_mtnardl
Quantile Wald Test for Coefficient Constancyquantile_wald_test
Select Optimal Fourier Frequencyselect_fourier_frequency
Select Optimal Lag Structureselect_optimal_lags
Test for Asymmetry (Wald Test)test_asymmetry