Fourier Bootstrap ARDL Cointegration Test.
fbardl: Fourier Bootstrap ARDL Cointegration Test
R implementation of the Fourier Bootstrap ARDL (FBARDL) bounds testing approach for cointegration analysis.
Overview
The fbardl package combines:
- Pesaran, Shin & Smith (2001) ARDL bounds testing framework
- Fourier terms to capture smooth structural breaks (Yilanci et al., 2020)
- Bootstrap critical values for robust inference (McNown et al., 2018; Bertelli et al., 2020)
Installation
# Install from source
install.packages("fbardl_1.0.0.tar.gz", repos = NULL, type = "source")
# Or using devtools
devtools::install_github("muhammedalkhalaf/fbardl")
Usage
library(fbardl)
# Load example data
data(fbardl_data)
# Basic Fourier ARDL test
result <- fbardl(y ~ x1 + x2, data = fbardl_data, type = "fardl")
summary(result)
# Bootstrap ARDL (McNown approach)
result_boot <- fbardl(y ~ x1 + x2, data = fbardl_data,
type = "fbardl_mcnown", reps = 999)
summary(result_boot)
# Without Fourier terms
result_nofourier <- fbardl(y ~ x1 + x2, data = fbardl_data, fourier = FALSE)
Test Types
| Type | Description |
|---|---|
"fardl" | Fourier ARDL with PSS bounds test (default) |
"fbardl_mcnown" | Bootstrap ARDL (McNown, Sam & Goh, 2018) |
"fbardl_bvz" | Bootstrap ARDL (Bertelli, Vacca & Zoia, 2020) |
Features
- Automatic lag selection via AIC or BIC
- Fourier frequency selection by minimum SSR
- Three cointegration tests: F-overall, t-dependent, F-independent
- Degenerate case detection (McNown et al., 2018)
- Long-run coefficient estimation via delta method
- Diagnostic tests: Jarque-Bera, Breusch-Godfrey, Breusch-Pagan, ARCH
Output
The function returns an object of class "fbardl" containing:
- Model coefficients and standard errors
- Long-run and short-run coefficient estimates
- Cointegration test statistics and p-values
- Diagnostic test results
- Model fit statistics (R², AIC, BIC)
References
Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326. https://doi.org/10.1002/jae.616
McNown, R., Sam, C. Y., & Goh, S. K. (2018). Bootstrapping the autoregressive distributed lag test for cointegration. Applied Economics, 50(13), 1509-1521. https://doi.org/10.1080/00036846.2017.1366643
Yilanci, V., Bozoklu, S., & Gorus, M. S. (2020). Are BRICS countries pollution havens? Evidence from a bootstrap ARDL bounds testing approach with a Fourier function. Sustainable Cities and Society, 55, 102035. https://doi.org/10.1016/j.scs.2020.102035
Kripfganz, S., & Schneider, D. C. (2020). Response surface regressions for critical value bounds and approximate p-values in equilibrium correction models. Oxford Bulletin of Economics and Statistics, 82(6), 1456-1481. https://doi.org/10.1111/obes.12377
Author
Dr. Merwan Roudane ([email protected])
License
GPL-3