fbardl: Fourier Bootstrap ARDL Cointegration Test

Read full text
Authors: Muhammad Abdullah Alkhalaf
Cited by: 0
References: 8

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