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ardldml  

Bounds Testing for Cointegration with Many Persistent Controls
View on CRAN: Click here


Download and install ardldml package within the R console
Install from CRAN:
install.packages("ardldml")

Install from Github:
library("remotes")
install_github("cran/ardldml")

Install by package version:
library("remotes")
install_version("ardldml", "0.1.0")



Attach the package and use:
library("ardldml")
Maintained by
Merwan Roudane
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-09-15
Latest Update: 2026-09-15
Description:
An implementation of the DML-Bounds procedure of Villena (2026) <doi:10.2139/ssrn.6472826> for testing cointegration in data-rich time-series settings. The Autoregressive Distributed Lag (ARDL) bounds test of Pesaran, Shin and Smith (2001) <doi:10.1002/jae.616> avoids pretesting the integration order of the regressors but is not designed for a high-dimensional conditioning set. Residualising the lagged levels against persistent controls can absorb stochastic trends and thereby change the finite-sample null distribution, so what governs the null is the effective number of stochastic trends surviving residualisation rather than the integration order of the original regressors. The procedure combines h-block cross-fitting, a balanced nuisance projection in the Double Machine Learning (DML) style of Chernozhukov and others (2018) <doi:10.1111/ectj.12097>, adaptive weighting after Zou (2006) <doi:10.1198/016214506000000735>, and a restricted system wild bootstrap that regenerates the dependent variable and the focal regressor jointly. No critical-value table is shipped: the classical bracket is regenerated by simulation and the operational critical value is bootstrapped. A trend-absorption diagnostic and a penalty-sensitivity sweep report whether a verdict survives a change of conditioning set. Monthly United States macroeconomic series from the 'FRED-MD' database of McCracken and Ng (2016) <doi:10.1080/07350015.2015.1086655> are bundled so every example runs offline.
How to cite:
Merwan Roudane (2026). ardldml: Bounds Testing for Cointegration with Many Persistent Controls. R package version 0.1.0, https://cran.r-project.org/web/packages/ardldml. Accessed 24 Oct. 2026.
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