Chapter 3 – R Studio – Estimating Non-Linear / Asymmetric Effects ARDL

Nonlinear ARDL and Assymetric Effects ARDL

The effect of increasing IV and drecreasing IV are not same

when you see a logic that increasing IV and decreasing IV can be different.

in recession fall in GDP will increase unemployment

with economies recovers then increase in GDP will not increase employment at same rate as it has decreased when it was in falling state

library(readxl) #for reading excel file
library(tidyverse) #for data manuplation
library(nardl) #for NARDL model

df <- read_excel(“D:/UMT notes/MPhil – MS courses/Applied Econometrics/lectures applied econometrics/lecture 8/TIME SERIES r/logistics data.xlsx”)

df <- df %>% mutate(LGDP = log(GDP))
df.ts <- ts(df, start = c(1982,1), end= c(2016,1), frequency = 1)
ts_plot(ts_pc(df.ts[,”GDP”]), ts_pc(df.ts[,”IND”]))

library(dLagM)
library(roll)

dLagM::rolCorPlot(x = df.ts[,”IND”], y = df.ts[,”LGDP”], width = c(5), level = 0.95, main = NULL, SDtest = TRUE, N = 500)

reg <- nardl(LGDP ~ IND, data = df, ic=”aic”, maxlags = TRUE, graph = TRUE, case=3)
summary(reg)
pssbounds(case = reg$case, fstat = reg$fstat, obs = reg$obs, k = reg$k)
x<-reg$selresidu
nlag<-reg$np
ArchTest(x,lags=nlag)
e<-reg$rece
k<-reg$k
n<-reg$n
cusum(e=e,k=k,n=n)
cumsq(e=e,k=k,n=n)
plotmplier(reg,reg$np,1,10)