fbardl: Fourier Bootstrap ARDL Cointegration Test
Abstract
Implements the Fourier Bootstrap Autoregressive Distributed Lag (FBARDL) bounds testing approach for cointegration analysis. Combines the Pesaran, Shin & Smith (2001) ARDL bounds testing framework with Fourier terms to capture structural breaks following Yilanci, Bozoklu & Gorus (2020) , and bootstrap critical values based on McNown, Sam & Goh (2018) and Bertelli, Vacca & Zoia (2022) . Features include automatic lag selection via AIC/BIC, optimal Fourier frequency selection by minimum SSR, long-run and short-run coefficient estimation, diagnostic tests, and dynamic multiplier analysis.
Fields of Study & Subjects
Monetary Policy and Economic Impact
Data Analysis with R
Spatial and Panel Data Analysis
Publication details
- Publication date
- 12 March 2026
- Language
- EN
- Document type
- Dataset