boot_ardl {bootCT} | R Documentation |
Bootstrap ARDL
Description
This is the main function of the package. It performs the bootstrap version of the ARDL bound test for cointegration.
Usage
boot_ardl(
data,
yvar = NULL,
xvar = NULL,
fix.ardl = NULL,
info.ardl = "AIC",
fix.vecm = NULL,
info.vecm = "AIC",
maxlag = 5,
a.ardl = 0.05,
a.vecm = 0.05,
nboot = 2000,
case = 3,
a.boot.H0 = c(0.05, 0.025, 0.01),
print = T
)
Arguments
data |
Input dataset. Must contain a dependent and a set of independent variables. |
yvar |
Name of the dependent variable, enclosed in quotation marks. If NULL, the first variable will be used. |
xvar |
Vector of names of the independent variables, each enclosed in quotation marks. If NULL, all variables except the first will be used. |
fix.ardl |
Fixed lagged differences for the short term part of the ARDL equation. |
info.ardl |
Selection criterion for the auto_ardl function. Options are "AIC", "AICc", BIC, "R2", "adjR2", if fix.ardl is null. Defaults to AIC. |
fix.vecm |
Fixed lagged differences for the short term part of the VECM equation. |
info.vecm |
Selection criterion for the VARselect function. Options are "AIC", "HQ", "SC", "FPE", if fix.vecm is null. Defaults to AIC. |
maxlag |
Max number of lags for the auto_ardl and VARselect procedures, if fix.ardl or fix.vecm are null, respectively. |
a.ardl |
Threshold significance for the short-term ARDL coefficients significance. |
a.vecm |
Threshold significance for the short-term VECM coefficients significance. |
nboot |
Number of bootstrap replications. |
case |
Model case, pertaining to the treatment of intercept and trend. Must be integer from 1 to 5. Defaults to 3. |
a.boot.H0 |
Probability/ies by which the critical quantiles of the bootstrap distribution(s) must be calculated. |
print |
Show the progress bar. |
Value
List of several elements including
-
data
: the data used to perform estimation and testing -
ARDL
: the estimated ARDL conditional model -
VECM
: the estimated VECM unconditional model -
jo.testX
: Johansen cointegration test on the independent variables -
pssbounds
: the PSS bound test output -
smgbounds
: the SMG bound test critical values -
fov.stat
: the test statistics on the conditional Fov tests -
t.stat
: the test statistics on the conditional t test -
find.stat
: the test statistics on the conditional Find tests -
quantfov
: the bootstrap conditional F Overall test critical value(s) -
quantt
: the bootstrap conditional t-test critical value(s) -
quantfind
: the bootstrap conditional F Independent test critical value(s) -
fakecoint
: indication of the situation in whicha_{y.x}\neq 0
buta_{y.x}^{UC}=0
, signaling absence of cointegration.
Examples
## Not run:
#LOAD DATA
data("ger_macro")
# DATA PREPARATION
LNDATA = apply(ger_macro[,-1], 2, log)
col_ln = paste0("LN", colnames(ger_macro)[-1])
LNDATA = as.data.frame(LNDATA)
colnames(LNDATA) = col_ln
LNDATA$DATE = ger_macro$DATE
#ARDL BOOT
BCT_res = boot_ardl(data = LNDATA,
yvar = "LNCONS",
xvar = c("LNINCOME","LNINVEST"),
maxlag = 5,
a.ardl = 0.1,
a.vecm = 0.1,
nboot = 2000,
case = 3,
a.boot.H0 = c(0.05),
print = T)
summary(boot_res)
## End(Not run)