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fqardl
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Download and install fqardl package within the R console
Install from CRAN:
install.packages("fqardl")
Install from Github:
library("remotes")
install_github("cran/fqardl") Install by package version:
library("remotes")
install_version("fqardl", "1.0.4") Attach the package and use:
library("fqardl")
Maintained by
Muhammad Alkhalaf
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[Scholar Profile | Author Map]
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First Published: 2026-03-17
Latest Update: 2026-03-17
Description:
Comprehensive implementation of advanced ARDL methodologies for cointegration analysis with structural breaks and asymmetric effects. Includes: (1) Fourier Quantile ARDL (FQARDL) - quantile regression with Fourier approximation for analyzing relationships across the conditional distribution; (2) Fourier Nonlinear ARDL (FNARDL) - asymmetric cointegration with partial sum decomposition following Shin, Yu & Greenwood-Nimmo (2014) <doi:10.1007/978-1-4899-8008-3_9>; (3) Multi-Threshold NARDL (MTNARDL) - multiple regime asymmetry analysis; (4) Fourier Unit Root Tests - ADF and KPSS tests with Fourier terms following Enders & Lee (2012) <doi:10.1016/j.econlet.2012.05.019> and Becker, Enders & Lee (2006) <doi:10.1111/j.1467-9892.2006.00490.x>. Features automatic lag and frequency selection, PSS bounds testing following Pesaran, Shin & Smith (2001) <doi:10.1002/jae.616>, bootstrap cointegration tests, Wald tests for asymmetry, dynamic multiplier computation, and publication-ready visualizations. Ported from Stata/Python by Dr. Merwan Roudane.
How to cite:
Muhammad Alkhalaf (2026). fqardl: Fourier ARDL Methods: Quantile, Nonlinear, Multi-Threshold & Unit Root Tests. R package version 1.0.4, https://cran.r-project.org/web/packages/fqardl. Accessed 24 Oct. 2026.
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