Fourier ARDL Methods: Quantile, Nonlinear, Multi-Threshold & Unit Root Tests

[Up] [Top]

Documentation for package ‘fqardl’ version 1.0.2

Help Pages

fqardl-package Fourier ARDL Methods for R
bootstrap_bounds_test Bootstrap Bounds Test
compute_asymmetric_multipliers Compute Asymmetric Multipliers
compute_diagnostics Compute Model Diagnostics
compute_multipliers Compute Long-run and Short-run Multipliers
decompose_multi_threshold Multi-Threshold Decomposition
decompose_variables Decompose Variables into Positive and Negative Changes
estimate_qardl Estimate Quantile ARDL Model
fadf_f_test F-test for Linearity in Fourier ADF
fnardl Fourier Nonlinear ARDL Estimation
fourier_adf Fourier ADF Unit Root Test
fourier_adf_test ============================================================================= Fourier Unit Root Tests Based on Enders & Lee (2012) and Becker, Enders & Lee (2006) Ported from Python: Dr. Merwan Roudane R implementation: Muhammad Alkhalaf (Rufyq Elngeh) ============================================================================= Fourier ADF Test
fourier_kpss_test Fourier KPSS Test
fourier_unit_root_analysis Complete Unit Root Analysis
fqardl Fourier Quantile ARDL Estimation
generate_fnardl_report Generate FNARDL Report
generate_fourier_terms ============================================================================= Fourier Approximation Functions For capturing smooth structural breaks ============================================================================= Generate Fourier Trigonometric Terms
macro_data Simulated Macroeconomic Data with Structural Break
mtnardl Multi-Threshold Nonlinear ARDL
oil_gdp_data Simulated Oil Price and GDP Data with Asymmetric Effects
perform_bounds_test ============================================================================= Bounds Test for Cointegration Based on Pesaran, Shin & Smith (2001) With extensions for Quantile ARDL ============================================================================= Perform Bounds Test for Cointegration
plot.fnardl ============================================================================= Visualization Functions for FNARDL Dynamic Multiplier Plots and Asymmetry Analysis ============================================================================= Plot FNARDL Results
plot.fqardl ============================================================================= Visualization Functions for FQARDL Publication-ready plots ============================================================================= Plot FQARDL Results
plot_cumulative_multipliers Plot Cumulative Multipliers
plot_dynamic_multipliers Plot Dynamic Multipliers
plot_persistence Plot Persistence Profile
quantile_wald_test Quantile Wald Test for Coefficient Constancy
select_fourier_frequency Select Optimal Fourier Frequency
select_optimal_lags ============================================================================= Quantile ARDL Estimation Functions Based on Cho et al. (2015) and extensions ============================================================================= Select Optimal Lag Structure
test_asymmetry Test for Asymmetry (Wald Test)