fqardl: Fourier ARDL Methods: Quantile, Nonlinear, Multi-Threshold &
Unit Root Tests
Implementation of ARDL methods for cointegration analysis with
structural breaks and asymmetric effects. Includes: (1) Fourier Quantile
ARDL (FQARDL), quantile regression with Fourier approximation following
the quantile ARDL of Cho, Kim and Shin (2015)
<doi:10.1016/j.jeconom.2015.05.003>; (2) Fourier Nonlinear ARDL (FNARDL),
asymmetric cointegration with partial sum decomposition following Shin,
Yu and Greenwood-Nimmo (2014) <doi:10.1007/978-1-4899-8008-3_9>;
(3) a deprecated Multi-Threshold NARDL (MTNARDL) function; (4) Fourier
unit root tests, ADF and KPSS tests with Fourier terms following Enders
and Lee (2012) <doi:10.1016/j.econlet.2012.04.081> and Becker, Enders and
Lee (2006) <doi:10.1111/j.1467-9892.2006.00478.x>. Features automatic lag
and frequency selection, Wald bounds statistics with the tables of
Pesaran, Shin and Smith (2001) <doi:10.1002/jae.616> (no verdict with
Fourier terms, for which the tables are not valid), recursive bootstrap
bounds tests following Bertelli, Vacca and Zoia (2022)
<doi:10.1016/j.econmod.2022.105987> and McNown, Sam and Goh (2018)
<doi:10.1080/00036846.2017.1366643>, Wald tests for asymmetry,
multiplier computation, and visualizations.
| Version: |
1.1.0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
quantreg (≥ 5.0), ggplot2 (≥ 3.0.0), tidyr, gridExtra, stats |
| Suggests: |
testthat (≥ 3.0.0), knitr, rmarkdown, plotly, covr |
| Published: |
2026-10-10 |
| DOI: |
10.32614/CRAN.package.fqardl |
| Author: |
Muhammad Alkhalaf 
[aut, cre, cph] |
| Maintainer: |
Muhammad Alkhalaf <muhammedalkhalaf at gmail.com> |
| BugReports: |
https://github.com/muhammedalkhalaf/fqardl/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/muhammedalkhalaf/fqardl |
| NeedsCompilation: |
no |
| Materials: |
README, NEWS |
| CRAN checks: |
fqardl results |
Documentation:
Downloads:
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