Bounds Testing for Cointegration with Many Persistent Controls

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Documentation for package ‘ardldml’ version 0.1.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

absorption_verdict	The Trend-Absorption Diagnostic
adaptive_post_lasso	Adaptive Post-LASSO
ardl_colors	Colours Used by the Package's Figures
as.data.frame.ardl_folds	h-Block Cross-Fitting Folds
as.data.frame.trend_absorption	The Trend-Absorption Diagnostic
bounds_verdict	Mark a Statistic Against a Pair of Bounds
build_balanced_design	Build the Balanced First-Stage Design
CASE_LABELS	Deterministic Case Labels
classical_bounds_test	The Classical Bounds Test
classify_controls	Split the Control Set into Stationary and Integrated Blocks
compute_statistic	Build the Design, Cross-Fit, Residualise and Test
conditional_ecm	Fit the Unrestricted Conditional Error Correction Model
CONTROLS	The Seven Controls of the Full Conditioning Set
cross_fit_projection	Cross-Fitted Projection
decision	Verdict of a Fitted Test
DEFAULT_INTEGRATED	Controls Treated as Integrated of Order One
DEFAULT_LEVELS	Significance Levels Reported by Default
dml_bootstrap	The Restricted System Wild Bootstrap
dml_bounds	Test for a Long-Run Relationship with Many Persistent Controls
dml_spec	Specification of a DML-Bounds Fit
hblock_folds	h-Block Cross-Fitting Folds
k_convention_offset	The k-Convention Offset
LOG_SERIES	Series Transformed to Logs
n_restrictions	Number of Restrictions in the Bounds Test
parula_colors	MATLAB Parula Color Palette
passthrough	Exchange-Rate Pass-Through Data
passthrough_regime	Load a Regime of the Pass-Through Data
PASSTHROUGH_REGIMES	The Four Monetary Regimes
PENALTY_RULES	Penalty Rules of the Robustness Grid
penalty_sensitivity	Sweep the Penalty and the Projection
plot.dml_bounds	Plot the Simulated Null of a Fitted Test
plot_bracket	Plot the Trend-Absorption Bracket
plugin_penalty	The Plug-In Penalty
print.ardl_design	Build the Balanced First-Stage Design
print.ardl_folds	h-Block Cross-Fitting Folds
print.classical_bounds	Print a Classical Bounds Test
print.dml_bounds	Test for a Long-Run Relationship with Many Persistent Controls
print.dml_spec	Specification of a DML-Bounds Fit
print.trend_absorption	The Trend-Absorption Diagnostic
pss_reference	Published Bounds for a Validated Cell
rademacher	Rademacher Weights
REDUCED_DROP	Controls Dropped to Form the Reduced Set
sample_use	Share of the Sample Available for Training
sample_use_table	Training Share Across a Grid of K and h
simulate_pss_bounds	Generate the Classical Bounds by Simulation
summary.dml_bounds	Test for a Long-Run Relationship with Many Persistent Controls
trend_absorption	The Trend-Absorption Diagnostic
tscv_penalty	Rolling-Origin Cross-Validation for the Penalty