mvardlurt: Multivariate ARDL Unit Root Test

R implementation of the multivariate autoregressive distributed lag (ARDL) unit root test proposed by Sam, McNown, Goh, and Goh (2024).

Overview

The mvardlurt package implements a unit root test that augments the standard ADF regression with lagged levels of a covariate (independent variable) to improve power, especially when cointegration exists. Bootstrap critical values ensure correct size regardless of nuisance parameters.

Installation

Install from CRAN:

install.packages("mvardlurt")

Or install the development version from GitHub:

# install.packages("devtools")

Usage

library(mvardlurt)

# Generate example data with cointegration
set.seed(123)
n <- 200
x <- cumsum(rnorm(n))  # I(1) process
y <- 0.5 * x + rnorm(n, sd = 0.5)  # Cointegrated with x

# Run the test
result <- mvardlurt(y, x, case = 3, reps = 1000)
print(result)
summary(result)

# Diagnostic plots
plot(result)

The Four-Case Framework

Based on the test results, the package determines one of four cases:

Deterministic Cases

• Case 1: No deterministic terms
• Case 3: Intercept only (default)
• Case 5: Intercept and linear trend

References

Sam, C. Y., McNown, R., Goh, S. K., & Goh, K. L. (2024). A multivariate autoregressive distributed lag unit root test. Studies in Economics and Econometrics, 1-17. doi:10.1080/03796205.2024.2439101

License

GPL (>= 3)

Author