While autoregressive distributed lag models allow for extremely flexible dynamics, interpret ing the substantive significance of complex lag structures remains difficult. In this paper we discuss dynamac (dynamic autoregressive and cointegrating models), an R package designed to assist users in estimating, dynamically simulating, and plotting the results of a variety of autoregressive distributed lag models. It also contains a number of post-estimation diagnostics, including a test for cointegration for when researchers are estimating the error-correction variant of the autoregressive distributed lag model.
Supplementary materials are available in addition to this article. It can be downloaded at RJ-2018-076.zip
Econometrics, Finance, SocialSciences, Distributions, Environmetrics, Multivariate, NumericalMathematics, Psychometrics, Robust, TimeSeries
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For attribution, please cite this work as
Jordan & Philips, "The R Journal: Dynamic Simulation and Testing for Single-Equation Cointegrating and Stationary Autoregressive Distributed Lag Models", The R Journal, 2018
BibTeX citation
@article{RJ-2018-076,
author = {Jordan, Soren and Philips, Andrew Q.},
title = {The R Journal: Dynamic Simulation and Testing for Single-Equation Cointegrating and Stationary Autoregressive Distributed Lag Models},
journal = {The R Journal},
year = {2018},
note = {https://doi.org/10.32614/RJ-2018-076},
doi = {10.32614/RJ-2018-076},
volume = {10},
issue = {2},
issn = {2073-4859},
pages = {469-488}
}