The R Journal: article published in 2018, volume 10:2

Dynamic Simulation and Testing for Single-Equation Cointegrating and Stationary Autoregressive Distributed Lag Models
Soren Jordan and Andrew Q. Philips , The R Journal (2018) 10:2, pages 469-488.

Abstract While autoregressive distributed lag models allow for extremely flexible dynamics, interpret ing the substantive significance of complex lag structures remains difficult. In this paper we discuss dynamac (dynamic autoregressive and cointegrating models), an R package designed to assist users in estimating, dynamically simulating, and plotting the results of a variety of autoregressive distributed lag models. It also contains a number of post-estimation diagnostics, including a test for cointegration for when researchers are estimating the error-correction variant of the autoregressive distributed lag model.

Received: 2018-05-29; online 2018-12-31, supplementary material, (1.3 KiB)
CRAN packages: dynsim, Zelig, urca, MASS
CRAN Task Views implied by cited CRAN packages: Econometrics, Finance, SocialSciences, Distributions, Environmetrics, Multivariate, NumericalMathematics, Psychometrics, Robust, TimeSeries

This article and supplementary materials are licensed under a Creative Commons Attribution 4.0 International license.

@article{RJ-2018-076,
  author = {Soren Jordan and Andrew Q. Philips},
  title = {{Dynamic Simulation and Testing for Single-Equation
          Cointegrating and Stationary Autoregressive Distributed Lag
          Models}},
  year = {2018},
  journal = {{The R Journal}},
  doi = {10.32614/RJ-2018-076},
  url = {https://doi.org/10.32614/RJ-2018-076},
  pages = {469--488},
  volume = {10},
  number = {2}
}