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RARDL: Stata module to perform Rolling-Window and Recursive ARDL Cointegration Analysis

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

rardl implements the Rolling-Window ARDL bounds testing approach of Shahbaz, Khan & Mubarak (2023) and the Recursive ARDL, ADF, and Granger causality tests of Khan, Shahbaz & Napari (2023). These methods evaluate subsample stability and time-varying cointegration. The core idea is to apply the Pesaran, Shin & Smith (2001) ARDL bounds test not just once on the full sample, but repeatedly across overlapping sub-samples (rolling windows) or expanding sub-samples (recursive). This reveals when and how the long-run equilibrium relationship changes over time.

Suggested Citation

  • Merwan Roudane, 2026. "RARDL: Stata module to perform Rolling-Window and Recursive ARDL Cointegration Analysis," Statistical Software Components S459611, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459611
    Note: This module should be installed from within Stata by typing "ssc install rardl". 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/r/rardl.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/rardl.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_rardl_radf.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_rardl_recursive.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_rardl_rgranger.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_rardl_rolling.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_rardl_simulate.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_rardl_stars.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/t/test/rardl.do
    File Function: sample do-file
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    File URL: http://fmwww.bc.edu/repec/bocode/c/commodity_data.xlsx
    File Function: sample data file
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