## 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)

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