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@Natsiopoulos Natsiopoulos released this 15 Feb 19:01
· 11 commits to master since this release

New features

  • The estimation of the interim multipliers was corrected. Delay multipliers are
    introduced along with the interim and they are now returned as a list with a
    data.frame for each variable containing the delay and interim multipliers for
    each period. Also, the maximum period for delay and interim multipliers was
    raised to 200.

  • ardl() is now a generic function. The default method constructs an ardl
    model as it used to. The other method takes an uecm model and converts it into
    an ardl.

  • recm() can now estimate models which include 0 lags in the order of a
    variable.

Documentation update

  • Updated the formulas for the uecm and recm equations making them more precise.

New data

  • Added a new dataset, the UK earnings equation data from Natsiopoulos and
    Tzeremes (2022). These are the data used to extend the study of Pesaran et al.
    (2001).

Bug fix

  • multipliers() does not divide the short-run multipliers by the adjustment
    factor anymore (correction).

Minor changes

  • Added corresponding variable names to ARDL orders.