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Questions tagged [ardl]

14 questions
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ARDL model in R

I have this data frame on which I want to apply the ARDL model but every time I run it, it gives me an error. If anyone could please help me or point out what I am doing wrong would be highly appreciated. Error:'list' object cannot be coerced to…
M. Talha Bin Asif
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Time series : Nonlinear NARDL in R with a dummy variable for structural Breaks

I need help in estimating a nonlinear ARDL with dummy variables. I used "|" on the variable logEPUNews to decompose the positive and negative innovations. I would like to account for structural breaks using the dummy variable D_Accom as in the…
famouspeople
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Stargazer for ARDL package's output: 'Error: Unrecognized object type'

So ARDL package in R implements dynlm which is an accepted input in stargazer as per this question and answer. However, I am unable to get stargazer table from ardl or auto_ardl. It throws the unrecognized object type error. Is there a way out of…
Dayne
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What kind of prediction does statsmodels use in the forecast and predict functions?

Apologies if this question has an obvious answer: I'm using the ARDL packages from statsmodels to construct a model using monthly data, and generating a forecast of 1 year. I've read documentation for the statsmodels package, but I'm still not…
elemn
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How to use fitted values after testing on stationarity

community, I am not that experienced in using R but I am currently working on an ARDL-modell to predict short- and long-run elasticities. For this, I also checked all my variables for stationarity, as ARDL requires variables that are integrated of…
kiks6897
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Plotting Regression Line in ARDL model in R

I am working on a project where I have implemented the ARDL model and was hoping to see the past values on the regression line in black and the forecasted values generated by the model on the same line in blue but getting the error: Error in…
talha asif
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Creating Prediction Intervals for ARDL model in R

I want to create prediction Intervals for my ARDL model. I have tried the below code but it is not working. Data: structure(list(Date = structure(c(1667260800, 1667347200, 1667433600, 1667520000, 1667606400, 1667692800, 1667779200, 1667865600,…
Talha Asif
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Using ARDL model (ARIMA with exog by statsmodel in Python) for prediction

Data description (simplied for question): Train_data: 20 columns, 10 years financial daily data from 2010.01.01 to 2019.12.31 Train_label: 10 years daily Chinese Stock Market Index from 2010.01.01 to 2019.12.31 Test_data: 20 columns, 1 year…
Haimin Zhang
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Estimating short- and long-run elasticities for dynamic panel with short T and large N

I want to estimate short- and long-run price elasticities for energy demand using a dynamic panel regression. My data contains of large N (>1000) and small T (12). I started with an ARDL representation as follows: $EC_{it} = c + \sum_{j=1}^p \phi…
heinn
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Forecasting using ARDL model in R

I am working on this data where I have used the ARDL model. I want to plot the future intervals and though the model output is good I want to see the forecasting plots. Plus, I have used the ardlDlm function to obtain the model output. Can someone…
talha asif
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forecast::forecast.lm() Error: Error in attr(x, "tsp") <- c(1, NROW(x), 1) : invalid time series parameters specified

I have fractionally integrated data and am running a FIECM model. I would like to do a one-step ahead forecast for three out-of-sample years. This is what my original data look like: dput(ts_short) structure(c(1972, 1974, 1976, 1978, 1980, 1982,…
Damon C. Roberts
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reporting ARDL results in R

I'm working with time series data and have run an ARDL regression using the ardlBound function from the dLagM package. I tried to export my results using stargazer; however, I believe stargazer is not readily compatible with ardlBound output. Is…
user3227641
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Dynicam linear regression, lags produce NA values

How do I perform a dynlm regression when I want to included lags of both the dependent and independent variable. For example with the following data; a <- 1:10 b <- 5:15 a <- ts(a) b <- ts(b) dynlm(a ~ L(a, 1:3) + L(b, 1:2)) What I am trying to…
WHN
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Forecasting using model object from ARDL R package

I am trying to use forecast function on ardl model like this. library(ARDL) data(denmark) models <- auto_ardl(LRM ~ LRY + IBO + IDE, data = denmark, max_order = 5) ardl_3132 <- models$best_model fabletools::forecast(object = ardl_3132, new_data =…
Geet
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