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SURARDL: Stata module to perform seemingly unrelated ARDL cointegration and bounds testing

Author

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  • Merwan Roudane

Programming Language

Abstract

surardl estimates the seemingly unrelated autoregressive distributed lag (SUR-ARDL) model of Arif and Furuoka (2026), which writes the Pesaran, Shin and Smith (2001) conditional error-correction specification for each of N cross-sectional units and estimates the N equations jointly as a Zellner (1962) SUR system by feasible GLS. Because the ARDL lag structure absorbs short-run dynamics and regressor endogeneity parametrically, the estimator needs only the N x N contemporaneous error covariance rather than the 2N x 2N long-run covariance required by the fully modified SUR estimator of Wagner, Grabarczyk and Hong (2020) or the banded inverse autocovariance of Lin and Reuvers (2025). It is intended for panels with small N and moderate to large T.

Suggested Citation

  • Merwan Roudane, 2026. "SURARDL: Stata module to perform seemingly unrelated ARDL cointegration and bounds testing," Statistical Software Components S459933, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459933
    Note: This module should be installed from within Stata by typing "ssc install surardl". 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/s/surardl.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/s/surardl.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/s/surardl_methods.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/s/surardl_p.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/s/surardl_postestimation.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/s/surardl_estat.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/s/surardl_asean6.do
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    File URL: http://fmwww.bc.edu/repec/bocode/s/surardl_asean6.dta
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    File URL: http://fmwww.bc.edu/repec/bocode/s/surardl_example.do
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