IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/s459872.html

ARDLDML: Stata module to perform DML-Bounds: ARDL bounds testing for cointegration with many persistent controls

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

ardldml implements DML-Bounds, the procedure of Villena (2026): a test for a long-run (cointegrating) relationship between depvar and focalvar when the conditioning set is high-dimensional and may itself carry stochastic trends. The classical ARDL bounds test of Pesaran, Shin and Smith (2001) brackets one unknown: whether the tested regressors are I(0) or I(1). With a large, persistent control set a second unknown appears. Partialling out controls that carry stochastic trends can absorb part of the long-run variation that identifies the error-correction relation. What then governs the null is not the integration order of the original regressors but the {bf:effective integrated count} k-tilde: the number of stochastic trends that survive residualisation. k-tilde = k puts the null at the classical I(1) endpoint, k-tilde = 0 at the I(0) endpoint, and anything between lands inside the bracket. The procedure has three stages. A balanced first stage projects the differenced outcome on stationary regressors only and the lagged levels on the control levels, cross-fitted over contiguous time blocks separated by an h-observation buffer. The lagged levels are then residualised, and the F form of the Wald test of joint insignificance is computed on the orthogonalised terms. Inference comes from a restricted system wild bootstrap that regenerates the outcome and the focal regressor jointly under the null.

Suggested Citation

  • Merwan Roudane, 2026. "ARDLDML: Stata module to perform DML-Bounds: ARDL bounds testing for cointegration with many persistent controls," Statistical Software Components S459872, Boston College Department of Economics, revised 27 Aug 2026.
    • Handle: RePEc:boc:bocode:s459872
    Note: This module should be installed from within Stata by typing "ssc install ardldml". 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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml.ado
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml.mata
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml.sthlp
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml_buildmlib.do
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml_estat.ado
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml_example.do
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml_examples.sthlp
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml_mcheck.do
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml_methods.sthlp
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml_p.ado
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml_mata.ado
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml_passthrough.dta
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml_postestimation.sthlp
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/ardldml_validate.do
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_ardldml_blockgraph.ado
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_ardldml_nullgraph.ado
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lardldml.mlib
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s459872. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.