![]() ![]() Main features and input/output structures of the dLagM package and use of the proposed algorithm are illustrated over the datasets included in the package. Particularly, in this article, a new search algorithm to specify the orders of ARDL bounds testing is proposed and implemented by the dLagM package. The dLagM package provides a user-friendly and flexible environment for the implementation of the finite linear, polynomial, Koyck, and ARDL models and ARDL bounds cointegration test. Distributed lag models constitute a large class of time series regression models including the ARDL models used for cointegration analysis. In this article, we introduce the R package dLagM for the implementation of distributed lag models and autoregressive distributed lag (ARDL) bounds testing to explore the short and long-run relationships between dependent and independent time series.
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