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FBNARDL: Stata module to perform Fourier Bootstrap Nonlinear Autoregressive Distributed Lag estimation

Author

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  • Merwan Roudane

Programming Language

Abstract

fbnardl estimates a Fourier Nonlinear ARDL model that combines three methodological advances: (1) the NARDL framework of Shin, Yu & Greenwood-Nimmo (2014) for asymmetric cointegration with decomposition of regressors into positive and negative partial sums, (2) Fourier trigonometric terms following Yilanci, Bozoklu & Gorus (2020) and Enders & Lee (2012) to capture smooth structural breaks of unknown form, and (3) optional bootstrap cointegration testing following Bertelli, Vacca & Zoia (2022) and McNown, Sam & Goh (2018)

Suggested Citation

  • Merwan Roudane, 2026. "FBNARDL: Stata module to perform Fourier Bootstrap Nonlinear Autoregressive Distributed Lag estimation," Statistical Software Components S459599, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459599
    Note: This module should be installed from within Stata by typing "ssc install fbnardl". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/f/fbnardl.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/f/fbnardl.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_fbnardl_advanced.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_fbnardl_bootstrap.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_fbnardl_diagtest.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_fbnardl_dynmult.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_fbnardl_stars.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/f/fbnardl_example.do
    File Function: sample do-file
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